The study of high-entropy materials has attracted enormous interest since they could show new functional properties that are not observed in their related parent phases. Here, we report single crystal growth, structure, thermal transport, and magnetic property studies on a novel high-entropy oxide with the spinel structure (MgMnFeCoNi)Al2O4. We have successfully grown high-quality single crystals of this high-entropy oxide using the optical floating zone growth technique for the first time. The sample was confirmed to be a phase pure high-entropy oxide using x-ray diffraction and energy-dispersive spectroscopy. Through magnetization measurements, we found (MgMnFeCoNi)Al2O4 exhibits a cluster spin glass state, though the parent phases show either antiferromagnetic ordering or spin glass states. Furthermore, we also found that (MgMnFeCoNi)Al2O4 has much greater thermal expansion than its CoAl2O4 parent compound using high resolution neutron Larmor diffraction. We further investigated the structure of this high-entropy material via Raman spectroscopy and extended x-ray absorption fine structure spectroscopy (EXAFS) measurements. From Raman spectroscopy measurements, we observed (MgMnFeCoNi)Al2O4 to display a combination of the active Raman modes in its parent compounds with the modes shifted and significantly broadened. This result, together with the varying bond lengths probed by EXAFS, reveals severe local lattice distortions in this high-entropy phase. Additionally, we found a substantial decrease in thermal conductivity and suppression of the low temperature thermal conductivity peak in (MgMnFeCoNi)Al2O4, consistent with the increased lattice defects and strain. These findings advance the understanding of the dependence of thermal expansion and transport on the lattice distortions in high-entropy materials.