Material corrosion is a common phenomenon. Severe corrosion not only causes material failure, but may also lead to unexpected catastrophic accidents. Therefore, reducing the loss caused by corrosion has become a problem faced by countries around the world. As a surface modification technology, laser cladding (LC) can be used to prepare coatings that can achieve metallurgical bonding with the substrate. High-entropy alloys (HEAs) are a new material with superior anti-corrosion ability. Therefore, HEA coatings prepared by LC have become a research hotspot to improve the anti-corrosive ability of material surfaces. In this work, the effects of LC process parameters, post-processing, and the HEA material system on the anti-corrosion ability of HEA coatings and their mechanisms are reviewed. Among them, the LC process parameters influence the anti-corrosion ability by affecting the macroscopic quality, dilution rate, and uniformity of the coatings. The post-processing enhances the anti-corrosion ability of the coatings by improving the internal defects and refining the grain structure. The anti-corrosion ability of the coatings can be improved by appropriately adding transition metal elements such as Ni, Cr, Co, and rare earth elements such as Ce and Y. However, the lattice distortion, diversification of phase composition, and uneven distribution caused by excess elements will weaken the corrosion protection of the coatings. We reviewed the impact of corrosion medium on the anti-corrosion ability of coatings, in which the temperature and pH value of the corrosion medium affect the quality of the passive film on the surface of the coatings, thereby affecting the anti-corrosion ability of the coatings. Finally, to provide references for future research, the development trend of preparing HEA coatings by LC technology is prospected.