In this work, a new two-stage approach to the deposition of high-entropy alloy coatings is proposed. At the first stage, a composite precursor coating is formed by detonation spraying of the metal powder mixtures. At the second stage, the precursor coating is re-melted by a laser, and the formation of multi-component solid solution phases can be expected upon solidification. The feasibility of the proposed approach was validated using three different mixtures of Fe, Ni, Cu, Co and Al powders. It was shown that detonation spraying allows forming composite coatings with a uniform distribution of the lamellae of different metals. The results of the structural analysis of the laser-treated coatings suggest that complete alloying occurred in the melt and face-centered cubic solid solutions formed in the coatings upon cooling.