To qualify high-entropy alloys (HEAs) as resource-saving and high-temperature wear-resistant coating materials, high-velocity oxygen fuel (HVOF) coatings produced from the inert gas-atomized powder of Al0.3CrFeCoNi, Al0.3CrFeCoNiNb0.5 and Al0.3CrFeCoNiMo0.75 were investigated in reciprocating wear tests at temperatures at 25, 500, 700 and 900 °C. In addition to the high-temperature wear tests, the microstructure and chemical composition of the three HEAs were analyzed using scanning electron microscopy (SEM), energy dispersive spectroscopy (EDS) and X-ray diffraction (XRD). In particular, HVOF coatings are characterized by high hardness (Vickers hardness HV0.1) and low porosity, which were also determined. After high-temperature wear tests, the wear depth was measured using laser scanning microscopy (LSM). It was found that adding Nb and Mo to Al0.3CrFeCoNi significantly reduces the wear depth with increasing temperature. The wear mechanisms change from abrasive wear and delamination (25 °C and 500 °C) to a combination of (abrasion), delamination, adhesion and oxidative wear. Thereby, oxidative wear will be the primary mechanism at 900 °C for all the HVOF coatings investigated. The most important finding is that the adhesion of the oxide layer formed is improved by adding Nb and Mo, resulting in significantly reduced wear depth at 900 °C.