<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0306</schemaVersion>

    <documentType>5</documentType>

    <periodOfReport>2020-01-01</periodOfReport>

    <notSubjectToSection16>1</notSubjectToSection16>

    <form3HoldingsReported>0</form3HoldingsReported>

    <form4TransactionsReported>0</form4TransactionsReported>

    <issuer>
        <issuerCik>0001494530</issuerCik>
        <issuerName>FIRST TRUST HIGH INCOME LONG/SHORT FUND</issuerName>
        <issuerTradingSymbol>FSD</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001501854</rptOwnerCik>
            <rptOwnerName>Roberts Dan C.</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>MACKAY SHIELDS LLC</rptOwnerStreet1>
            <rptOwnerStreet2>1345 AVENUE OF THE AMERICAS</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10105</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>1</isOther>
            <officerTitle></officerTitle>
            <otherText>Former Member of Investmt Team</otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable></nonDerivativeTable>

    <derivativeTable></derivativeTable>

    <footnotes></footnotes>

    <remarks>On January 1, 2020, the reporting person became a Senior Advisor to MacKay Shields LLC's Global Fixed Income Division and his portfolio management responsibilities for the Fund ceased.</remarks>

    <ownerSignature>
        <signatureName>/s/ Dan C. Roberts by Rene A. Bustamante, attorney-in-fact</signatureName>
        <signatureDate>2020-01-15</signatureDate>
    </ownerSignature>
</ownershipDocument>
