A comparative investigation of two fundamentally different approaches for the synthesis, microstructure evolution, and mechanical properties of the refractory high‐entropy alloys (RHEA) HfNbTaTiZr and HfNbTiZr is performed. The two methods comprises conventional arc (button) melting and a powder route based on mechanical alloying and consolidation via severe plastic deformation. In particular, blended elemental powder is pre‐compacted and subjected to one or four passes of equal channel angular pressing (ECAP) at 500 °C and then 10 revolutions of high pressure torsion (HPT) at room temperature to an effective strain between 4 and 40. Some samples are then annealed at 500 °C for 1 h to investigate the thermal stability of the phases. The four ECAP passes at 500 °C do not result in the formation of the body‐centered cubic (BCC) phase typical for the program RHEAs despite the presence of interfacial zones between particles and defect‐driven diffusion. Nevertheless, a single ECAP pass is sufficient to create a solid bulk sample for subsequent HPT. After 10 HPT revolutions, in contrast to melting route resulting in a single BCC phase alloy, both alloys form new phases comprising a Nb‐rich BCC phase and a ZrHf‐rich HCP phase in both alloys.