Entei can be captured without the Master Ball however it's much more difficult. Once you find Entei attack it and it should run away. Now you must find it again when it appears its HP should still be lowered so now is your chance to capture it with any other ball you have.
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Using a master ball
master ball. but save it if you want it to use it on entei or raioku which run in the wild
no
Train a Golbat/Crobat. Or catch Entei with the Master Ball and randomly run into Raiku for the first time (Full HP) and catch with an Ultra Ball.
Of course, a Master Ball catches any Pokemon without fail, Legendary or not.