CoCrFeMnNi-XZrO2 (X is a mass percentage, X = 1, 3, 5, and 10) high-entropy alloy composite coatings were successfully prepared on 0Cr13Ni5Mo martensitic stainless steel substrates using laser cladding technology. The phase composition, microstructure, mechanical properties, and cavitation erosion behavior of the composite coatings under different contents of ZrO2 were studied. The mechanism of ZrO2 particle-reinforced cavitation corrosion resistance was studied using ABAQUS2023 finite element software. The results show that the phase structure of the composite coating organization is composed of FCC phase reinforced by ZrO2 phase. The addition of ZrO2 causes lattice distortion. The coatings have typical branch crystals and an equiaxed crystal microstructure. With the increase in ZrO2 content, the microhardness of the composite coatings gradually increases. When X = 10%, the coating’s microhardness reached 348 HV, which was 95.53% higher than the high-entropy alloys without ZrO2 added. Adding ZrO2 can prolong the incubation period of high-entropy alloys; the high-entropy alloy composite coating with 5 wt.% ZrO2 exhibited the best cavitation resistance, with a cumulative volume loss rate of only 15.74% of the substrate after 10 h of ultrasonic cavitation erosion. The simulation results indicate that ZrO2 can withstand higher stress and deformation in cavitation erosion, reduce the degree of substrate damage, and generate higher compressive stress on the coating surface to cope with cavitation erosion.