As a solid‐state deposition, cold spray maintains the intrinsic characteristics of the feedstock powder. Thus, it provides a unique opportunity for depositing high‐entropy alloys (HEAs) and medium‐entropy alloys (MEAs) that are of great interest for coatings to protect vulnerable materials from aggressive environments. However, considering the high hardness and the complexity of these powder's preparation, the choice of deposition parameters through experiments can be challenging and costly. Herein, a finite element model is presented to simulate the deposition of CrFeNi MEA using cold spray technology. A detailed approach is implemented to model the bonding of the particle to the substrate. The model is able to identify the deposition velocity window and simulate the metallurgical and mechanical interlocking. The particle adheres to the substrate at 500 m s−1 and pushes the substrate down facilitating mechanical interlocking. Furthermore, due to the strain localization induced by the particle, a notable temperature increase is observed at the substrate surface raising to its melting point in agreement with the ejecta eruption phenomenon. The developed numerical method can pave the way for successful experiments in case of costly HEAs and MEAs powders.