High entropy alloy coating (HEACs) can be applied on metal, composite, and ceramics, including carbides and nitrides. HEACs are adopted in the automobile industries, particularly fuel injection systems, fuel filters, muffler surfaces, and aerospace sectors, including engine assemblies, landing gears, turbine blades, and rocket nozzles. As a matter of fact, the purpose of the coating is to minimize the wear rate, coefficient of friction, corrosion, diffusion, radiation rate, and increased resistance to impact. This review aims to study the performance of HEAs in comparison with the coating applied using conventional materials. Further, the influence of the fabrication methods and the parametric levels adopted on the implementation of the coatings will be presented. The performance of coating depends on the coating techniques, variations in the process parameters, and the coating thickness. Performance indicators (outcome) include the quantifiable parameters such as surface roughness, surface hardness, adhesive strength, surface energy, wear rate, and resistance to corrosion. A comprehensive review of the coating materials, techniques, and the process parameters will be presented in this review paper, along with the influence of all these aspects on the performance indicators. The suitability of HEAs coating on special applications will be addressed based on the HEAs unique properties.