The effect of the Mo element on the Ni-Ti-Zr refractory high-entropy alloy (RHEA) coatings synthesized by laser cladding were explored in terms of microstructural evolution and tribological behavior assessed by material characterization techniques and drying sliding wear tests. The findings reveal that MoxNbTiZr RHEA coatings, comprising of body center cubic (BCC) matrix phase and several hexagonal close packed (HCP) phases, have a dendrite microstructure with Mo, Nb-rich dendritic region (DR) and Zr-rich interdendritic region (IR), affected by Mo-induced thermodynamic instability. The micro-segregation between DR and IR becomes serious by the synergy effect of melting point difference, diffusion rate, and mixing enthalpy. The microhardness of the RHEA coating has a linear relationship with Mo content, with the highest value of 732.67 HV at x = 1.0. Nanotwins induced by residual stress, high cooling rate, solid-solution strengthening, fine-grain strengthening, and second-phase strengthening, cause microhardness improvement. Due to the generation of the destructive oxide layer and rising coating brittleness, the wear rate rises from 1.66 × 10−4 mm3/(N·m) to 3.75 × 10−4 mm3/(N·m). The wear mechanism of the MoxNbTiZr coatings shifts from oxidation wear to abrasive wear and eventually to three-body abrasion and severe brittle micro-peeling. Among these coatings, Mo0.6NbTiZr exhibits the optimal performance with excellent comprehensive characteristics.