The present study provides a benchmark of a sustainable solution utilizing ferroalloys to prepare ultra-clean CoCrFeMnNi high-entropy alloy (HEA). The designed CaO-MgO-Al2O3 slags saturated with CaAl2O4-MgAl2O4 (CA-MA, Slag A) and CaO-MgO (C-M, Slag M) were used to refine the HEA in Al2O3 and MgO refractory in an induction furnace under high-purity Ar atmosphere at 1773 K. The characteristics of non-metallic inclusions in the sampled HEA at different time intervals were quantitatively investigated. The results showed that three types of inclusions, i.e., sulfide (MnS), oxide, and complex type (oxide+sulfide), were found in the HEA regardless of refractory and slag types. The oxide inclusions such as MnAl2O4 and MgAl2O4 spinel particles can exist stably in the HEA melted in Al2O3 and MgO refractories with slag A and slag M, respectively. This fact is also confirmed not only by the electrolytic extraction method with elimination of the alloy matrix affection but also by the thermodynamic stability diagram for the HEA. For the structure of the complex inclusions, the core of oxide inclusions usually can act as the subsequent nucleation site for MnS since the precipitation temperature of the oxide inclusions (above the liquidus temperature of the HEA, TL approximately equal to 1623 K) is higher than that of MnS (below the solidus temperature of the HEA, TS approximately equal to 1573 K). The HEA melted in the MgO refractory with slag M had a higher cleanliness compared with that melted in the Al2O3 refractory with slag A, indicating that the MgO refractory with C-M saturated CaO-MgO-Al2O3 slag is suitable for producing an ultra-clean CoCrFeMnNi HEA prepared by the ferroalloys feedstock as the raw materials.