Currently, the preparations of high-entropy alloy (HEA) coatings have developed into new methods such as thermal spraying, electrospark deposition technology, and magnetron sputtering. The microstructures and protective properties of HEA coatings prepared by different methods are bound to be different. Moreover, because HEAs have a wide range of composition systems, the difference in composition will inevitably lead to a change in process parameters and post-treatment methods, and then affect the microstructures and protective properties. This paper introduces the working mechanism of thermal spraying, electrospark deposition technology, and magnetron sputtering, compares the advantages and disadvantages of each method, and focuses on the influences of the compositions, process parameters, and post-treatment process on the microstructures and properties of the coating. Furthermore, this paper outlines the correlation between preparation methods, process parameters, microstructures, and properties, which will provide a reference for further development of the application of high-entropy alloy coatings. On this basis, the future development direction of HEA coatings is prospected.