High-entropy alloys (HEAs) are currently considered as promising materials for a wide range of applications, including high-temperature use. Since HEAs contain a large number of expensive elements, producing HEA-based coatings seems to be a reasonable approach from an economic point of view. In this study, non-vacuum electron beam cladding was used for the first time to produce CoCrFeNiX layers (where X = Al, Cu or Mn) on a surface of low-carbon steel. As-received coatings had a columnar grain structure with a 〈100〉 fiber texture. The CoCrFeNiCu cladding layer consisted of two fcc phases: Cu-enriched phase was observed in the interdendritic regions, and the Cu-depleted phase was found in dendrites. The CoCrFeNiMn coating had a single-phase fcc structure. CoCrFeNiAl alloy consisted of bcc and B2 phases. The hardness of the Cu and Mn-containing coatings was 190 and 186 HV, respectively. The hardness of the CoCrFeNiAl coating was 570 HV, which is 3.4 times higher compared to the material of the substrate. High-temperature oxidation tests carried out at 850 °C for 45 h revealed that oxide layers formed on the tested samples had a gradient structure that consisted of several different sublayers. The total mass gain due to high temperature oxidation was 2.29 mg/cm2, 2.04 mg/cm2, and 0.60 mg/cm2 for the CoCrFeNiCu, CoCrFeNiMn, and CoCrFeNiAl samples, respectively. The mass gain of the base material over the same period of time was 41.01 mg/cm2. The CoCrFeNiAl coating had the best oxidation resistance due to the formation of a dense Al2O3 scale. We show that non-vacuum electron beam cladding can be used to produce an HEA-based coating with a different chemical composition. The thickness of coatings in a single pass cladding can be as high as 1.8 mm. CoCrFeNiAl is a suitable coating for low-carbon steel in applications where high hardness and oxidation resistance are required.