Exploring new structural materials with strong He damage tolerance is one of the key tasks for the development of nuclear reactors. Helium (He), one of the most common elements in the nuclear environment, often forms undesired bubbles in metallic materials and may result in void swelling as well as high-temperature intergranular embrittlement. In this study, the behaviors of He in high-entropy alloy (HEA) TiZrHfMoNb and its constituents are systematically investigated both theoretically and experimentally. Density functional theory calculations show that the He atom prefers to occupy tetrahedral and octahedral interstitial sites in a HEA. The migration pathway for He in TiZrHfMoNb is explored and the migration energy barrier is determined. Besides, the He clustering behavior in TiZrHfMoNb is investigated. Through transmission electron microscopy analysis, a smaller He bubble size is observed in TiZrHfMoNb than in Ti, which is proposed to result from the lower tendency to form He clusters, a weaker coarsening effect, and severe lattice distortion in HEA. The current study thus provides deep insights into the He behaviors in HEAs and may help to develop structural materials with enhanced He damage tolerance in nuclear reactors.