High-entropy ceramics have gained wider attention due to their structural integrity and stability, which can be used in various functional applications. Especially, high-entropy oxides exhibit excellent thermal stability, particularly at high temperatures. Thermal barrier coating materials must demonstrate good thermal stability without any phase transformation or phase separation, which is critical in aerospace and energy conversion applications. To address this, we have prepared new high-entropy stannate pyrochlore oxide nanoparticles with the composition (Gd0.2Nd0.2La0.2Pr0.2Sm0.2)2Sn2O7 through a simple glycine-assisted sol–gel synthesis. The phase evolution was probed at different heat-treatment temperatures from 1000 °C to 1500 °C. Among the temperatures investigated, a single-phase pyrochlore oxide was formed from 1300 °C without any impurity or phase separation. The obtained nanoparticles were characterized using various techniques, including X-ray diffraction (XRD), field-emission scanning electron microscopy (FESEM), nanoindentation, and dilatometry to investigate their physiochemical and mechanical properties. The Vickers hardness of high-entropy oxides is 4.2 ± 0.33 GPa, while a thermal expansion coefficient (TEC) of 8.7 × 10−6 K−1 at 900 °C is calculated. The results show that the prepared high-entropy pyrochlore oxide can be a suitable candidate for thermal barrier coating.