High entropy alloys (HEAs) have been widely applied as a new generation of materials in materials science and coating technologies in recent years. This article provides a comprehensive analysis of the existing problems and prospects of coatings obtained from high entropy alloys. The mechanical, thermal, and corrosion resistance properties of HEAs, as well as the challenges encountered during their preparation and on their surfaces, are discussed in detail. The article addresses the technological problems in the application of HEAs, new methods for improving coating quality, and prospects for future developments. The research findings highlight the potential for effectively utilizing high entropy alloys in various industries.