Laser cladding was utilized to fabricate WC ceramic particle-reinforced CoCrFeMnNi high-entropy alloy (HEA) composite coatings, with an investigation into the influence of annealing heat treatment on the microstructure and wear behavior of the composite coatings. The HEA composite coatings with a WC particle content of 30 wt% primarily consist of a face-centered cubic (FCC) solid solution phase, various M6C carbides with blocky, fishbone, and dendritic morphologies, and incompletely melted WC ceramic particles. The microstructure of the composite coatings remains stable up to a temperature of 570°C. After annealing at 600°C, the microstructure transforms into a typical dendritic morphology with rod-like carbides precipitating from the solid solution and discontinuously distributed in the interdendritic regions. Due to the annealing softening effect, the microhardness of the coating decreases from 488.1 HV0.3 to 443.1 HV0.3. Following annealing at a high temperature of 800°C, recrystallization leads to a refined equiaxed grain microstructure, with precipitated carbides continuously distributed along the grain boundaries, forming a network. The combined effects of precipitation hardening and fine grain strengthening result in an increase in the microhardness of the coating to 568.6 HV0.3 after annealing at 800°C. As the annealing temperature increases, the wear rate of the WC particle-reinforced CoCrFeMnNi HEA composite coatings also increase. The wear mechanism for the unannealed coating is oxidative wear, and the reduction in hardness leads to adhesive phenomena in the coating after annealing at 600°C. The network of carbides reduces the ductility of the HEA and also the toughness of the oxide film, resulting in the highest wear rate for the coating annealed at 800°C, reaching 38.636×10−6 mm3/(N·m). This study provides valuable insights for the fabrication of advanced wear-resistant coatings.