High-entropy alloys (HEAs) are called also alloys without a main component or multiprincipal alloys. They consist of five, six or more components in more or less equal proportions and possess unique properties. Several dozens of thousands of publications have already been devoted to bulk HEAs, while HEA coatings are just beginning to develop. More than half of the works on the deposition of HEA coatings are devoted to laser cladding. In the laser cladding process, a mixture of powders on a substrate is melted in a focused laser beam, which sequentially scans the substrate. In the heated zone, the powder mixture melts. At the end of the crystallization process, a solidified polycrystal and a small amount of residual melt are found in the heated zone. It is possible that the grain boundaries (GBs) in the solidified polycrystal are incompletely or fully wetted by this liquid phase. In this way, the GB wetting with a melt determines the morphology and microstructure of HEAs coatings. This review analyzes GB wetting in single-phase HEAs, as well as in HEAs containing two or more phases. We analyze how the HEAs’ composition, laser scanning speed, laser beam power, external magnetic field or ultrasonic impact affect the microstructure and GB wetting. It is also shown how the microstructure and GB wetting change over the thickness of the rather thick as well as multilayer coatings deposited using a laser cladding.