One of the most promising applications of FeNiCoCrMoAl-based high-entropy alloy is the fabrication of protective coatings. In this work, gas-atomized powder of FeNiCoCrMo0.5Al1.3 composition was deposited via high-velocity oxygen fuel spraying. It was shown that in-flight oxidation of the powder influences the coating’s phase composition and properties. Powder oxidation and phase transformations were studied under HVOF deposition, and during continuous heating and prolonged isothermal annealing at 800 °C. Optical and scanning electron microscopy observation, energy dispersive X-ray analysis, X-ray diffraction analysis, thermogravimetric analysis, differential thermal analysis, and microhardness tests were used for study. In a gas-atomized state, the powder consisted of BCC supersaturated solid solution. The high rate of heating and cooling and high oxygen concentration during spraying led to oxidation development prior to decomposition of the supersaturated solid solution. Depleted Al layers of BCC transferred to the FCC phase. An increase in the spraying distance resulted in an increase in α-Al2O3 content; however, higher oxide content does not result in a higher microhardness. In contrast, under annealing, the supersaturated BCC solid solution decomposition occurs earlier than pronounced oxidation, which leads to considerable strengthening to 910 HV.