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The design of multicomponent materials has captured considerable attention due to its extraordinary ability to tailor functional properties. However, how a single element affects the behavior of the overall material has yet to be explored in depth. In this study, the heteroepitaxy of high entropy (Fe, Co, Ni, Cr, Mn)3O4 films with varying strain states are investigated in magnetic performance. It is discovered that the high entropy oxide thin film with compressive strain exhibits an effect of crystalline magnetic anisotropy. Diverse analyses provide a detailed understanding of high entropy magnetic oxide systems, including X‐ray diffraction, reciprocal space mapping, macroscopic magnetic characterization, X‐ray absorption spectroscopy (XAS), etc. Notably, the element‐specific XAS technique proves effective in uncovering the origin of the crystalline magnetic anisotropy. Due to the substrate‐induced epitaxial strain, the eg orbitals of Mn3+ form different energy levels, leading to different preferred electron occupancy. The exploration of magnetic properties in epitaxial high entropy oxide film is then raveled. By navigating the complexities introduced by the random atom distribution and intricate magnetic interactions, this study pioneers novel methodologies for probing the core physics of high entropy oxides. [ABSTRACT FROM AUTHOR]