Multi-component and high-entropy nitrides are a growing field with a promise of new functional materials. The interest in the field was sparked by the adjacent field of high-entropy and multi-component alloys, and the promise consists of both demonstrated properties and a possibly very large freedom for materials design. These promises, however, also come with new challenges connected to the vast available experimental space, which is inherent in multi-component materials. Traditional materials science methodologies will be slow to make appreciable progress in such an environment. A novel approach is needed to meet the challenges of the hyperdimensional compositional space. Recent developments within the fields of information technology can give materials science the tools needed. This Perspective article summarizes the state of the art in the field of multi-component nitride materials, focusing on coatings where solid solution phases with simple crystal structures are formed. Furthermore, it outlines the present research challenges that need to be addressed to move the field forward and suggests that there is a need to combine the traditional knowledge-driven materials science methodology with new data-driven methodologies. The latter would include advanced data-handling with artificial intelligence and machine learning to assist in the evaluation of large, shared datasets from both experimental and theoretical work. Such a change in the methodology will be a challenge but will be needed in order to fully realize the full potential of multi-component (nitride) materials.