The morphology, composition, and microstructure of plasma electrolytic oxidation (PEO) coating on Hf-Nb-Ta-Zr high entropy alloy (HEA) were characterized by scanning electron microscopy (SEM), X-ray photoelectron spectroscopy (XPS), X-ray diffraction (XRD), Raman spectroscopy, glow discharge optical emission spectroscopy (GDOES) and transmission electron microscopy (TEM). The formation mechanism of PEO coating was analyzed. It was found that a dense PEO coating of similar to 4 mu m thick on the HEA surface was formed, which consisted of tetragonal and monoclinic ZrO2 phases, tetragonal and monoclinic HfO2 phases, Nb2O5 and Ta2O5 phases. The PEO coating from the alloy substrate to the surface contained five distinctive layers: amorphous barrier layer, nanocrystalline layer, columnar grain layer, amorphous outer layer, and top porous layer. Their formation was ascribed to the different cooling rates of the melt in the different depths of the discharge channel across the coating. Meanwhile, the formation of an amorphous barrier layer near the HEA substrate was also related to the mutual migration and diffusion of Hf4+, Nb5+, Ta5+, Zr4+ and O2- besides the rapid cooling of melt in the bottom of the discharge channel. The columnar grains of similar to 70 nm wide were mainly composed of the monoclinic ZrO2 and monoclinic HfO2 phases, but both the amorphous layers enrich the Ta and Nb elements. It was believed that the high-content Ta and Nb in the HEA enhanced the formation of the amorphous layers.