High entropy alloys (HEAs), as a novel material in the 21st century, possess several advantages, such as excellent corrosion & oxidation resistance and high mechanical properties. HEA thin films show these favourable properties with lower material costs than their bulk counterparts. Studying the HEA film-substrate interface represents challenges but is of extreme importance for the understanding of growth mechanisms with important implications for film adhesion. However, most HEA films were deposited on monocrystalline silicon substrates with limited practical applicability. Further, where commercial stainless steel, aluminium or titanium alloy substrates were used, the microstructure and chemistry at the interface were neglected. Here, we deposited AlCrFeCoNiCu0.5 HEA thin films on stainless steel 304 (SS304) substrates using cathodic arc deposition with different substrate biases. The crystallography and microstructure were investigated using an X-ray and electron-microscopy based chatacterization. A transition of an incoherent to semi-coherent interface was observed from 0 V to -50 V of the substrate bias. Energy dispersive spectroscopy demonstrated a transition of Cr2O3 to aluminum oxide across the interface. The nanoindentation tests revealed the significant improvement of mechanical properties of SS304 with HEA coatings. High-strength HEA (8.0 ± 0.2 GPa) thin films with semi-coherent interfaces were manufactured on SS304.