High-entropy alloys (HEAs) are promising structural materials due to their excellent comprehensive performances. The use of mechanically alloyed powders to deposit HEA coatings through atmospheric plasma spraying (APS) is an effective approach that can broaden the application areas of the HEAs. In this paper, a ductility–brittleness AlCoCrFeNiSi system was chosen as an object of study, and the detailed evolution of the surface morphology, particle size distribution, and microstructure of the powder during mechanical alloying was investigated. An AlCoCrFeNiSi HEA coating was deposited using powder milled for 10 h, which can be used as an ideal feedstock for APS. The surface morphology, microstructure, microhardness, and wear behavior of the coating at room temperature were investigated. The results showed that as the milling time increased, the particle size first increased, and then decreased. At the milling time of 10 h, simple body-centered cubic (BCC) and face-centered cubic (FCC) solid solution phases were formed. After spraying, the lamellar structure inside a single particle disappeared. An ordered BCC phase was detected, and the diffraction peaks of the Si element also disappeared, which indicates that phase transformation occurred during plasma spraying. A transmission electron microscopy analysis showed that nanometer crystalline grains with a grain size of about 30 nm existed in the APS coating. For the coating, an average microhardness of 612 ± 41 HV was obtained. Adhesive wear, tribo-oxidation wear, and slight abrasion wear took place during the wear test. The coating showed good wear resistance, with a volume wear rate of 0.38 ± 0.08 × 10−4 mm3·N−1·m−1, which makes it a promising coating for use in abrasive environments.