High entropy alloy (HEA) involves the addition of five or more elements into the materials system. This provides a multidimensional configuration space that is limitless in terms of its properties and functions. Some high-entropy alloys have already been shown to have superior properties over conventional alloys, especially the CoCr-based HEA materials. Better high-entropy alloy applications may be discovered, especially in micro- and nano-level structures, hence the development of thin film/coating -based HEA materials. Therefore, in this review paper, we are aiming to provide recent studies on the thin film/coating-based high-entropy alloy on fundamental issues related to methods of preparation, phase formation and mechanical properties. We found that sputtering has been extensively used to grow thin-film-based HEAs as it allowed parameters to be controlled with homogeneous growth. The evolution from bulk to thin samples can also be observed with the mechanical properties has exceeded the bulk-based HEA expectations, which are high hardness, better interfacial bonding and tribological behaviour and higher corrosion resistant.