In this study, a CrFeMoNbTiW high-entropy alloy (HEA) coating was prepared on a Q245R steel (American grade: SA515 Gr60) substrate by means of laser cladding. The effects of annealing temperature on the microstructure and wear resistance of the CrFeMoNbTiW coating were investigated using X-ray diffraction (XRD), a scanning electron microscope (SEM), a Vickers hardness tester and a roller friction wear tester. The results showed that the coating was mainly composed of body-centered cubic (BCC) solid solution and face-centered cubic (FCC) structural (Nb,Ti)C carbides prior to annealing, exhibiting an interdendritic structure and needlelike dendritic crystal structure with average microhardness of 682 HV0.2. The coarsening of the dendrite arms increased gradually after a 10-h long annealing treatment at 800 °C, 900 °C and 1000 °C, and a small amount of Laves phase was produced. After annealing, the highest microhardness value of the as-annealed coating reached 1176 HV0.2, which represents an increase of approximately 72.5% compared to that of the as-deposit coating. The wear resistance testing results imply that this type of coating retains good wear resistance following the annealing treatment and that its wear resistance increases in proportion to the annealing temperature in a range from 800 °C to 1000 °C.