This study explores the synthesis of high-entropy alloy (HEA) nanoparticles with core-shell structures using hydrogen reduction-assisted ultrasonic spray pyrolysis (USP). The focus is on synthesizing nanoparticles with transition metal based CoCuFeNi and CoCuFeNiZn HEA shells over iron oxide cores. The USP method enabled precise control over particle composition and morphology, resulting in spherical nanoparticles with complex core-shell configurations. The first synthesized particles with a CoCuFeNi shell over an Fe3O4 core (Fe3O4@CoCuFeNi) exhibited an average grain size of 144.9 nm. Subsequent synthesis involving the addition of Zn resulted in a CoCuFeNiZn shell over an FeO core (FeO@CoCuFeNiZn). The addition of Zn not only contributed to the shell composition but also modified the type of iron oxide core from Fe3O4 to FeO, increasing the grain size of the nanospheres to an average diameter of 224.4 nm. Electrocatalytic testing showed that Fe3O4@CoCuFeNi exhibited outstanding oxygen evolution reaction (OER) activity in 1 M KOH alkaline media. These nanospheres required overpotentials of 306 mV at 10 mA cm², with a Tafel slope of 61.5 mV dec⁻¹. Meanwhile, FeO@CoCuFeNiZn demonstrated a higher overpotential of 378 mV at 10 mA cm² and a Tafel slope of 65.4 mV dec⁻¹, underlining the influence of zinc addition on catalytic activity. Compared to some other HEAs and commercial IrO2 electrocatalysts, both core-shell nanosphere variants show improved charge transfer and reaction kinetics, underscoring their potential as cost-effective and highly efficient electrocatalysts for sustainable water electrolysis.