Conventional hard coatings are limited in their tribological applications due to their high brittleness. High-entropy alloy (HEA) coatings, which combine high toughness and hardness, represent a new class of tribological coatings with great potential. The microstructure and stress state of HEA coatings can be significantly affected by the deposition parameters of magnetron sputtering, which can regulate their mechanical and tribological properties. In this study, DC magnetron sputtering with varying substrate bias voltages was used to deposit FeCoNiCu HEA coatings with an FCC single phase structure on 316 stainless steel. The microstructure, mechanical, and tribological properties of these coatings were studied in detail. The residual tensile stress of the coatings decreases, while toughness and hardness increase as the bias voltage increases. The coatings exhibited optimal toughness, highest hardness (11.3 GPa), and the lowest wear rate (as low as 6.01 × 10−5 mm3/N·m) when the bias voltage was set to −200 V. The formation of a metal oxide adhesion layer during friction improved the tribological properties of the coatings. This study demonstrates that optimizing the deposition bias voltage is an effective way to improve the mechanical and tribological properties of high-entropy, face-centered cubic alloy coatings, which are intrinsically tough and ductile.