In the present work, Nbx-CoCrFeMnNi high entropy alloy films (HEAFs, 0 to 7.2 at.% Nb) were fabricated by radio frequency (RF) magnetron co-sputtering of CoCrFeMnNi alloy and Nb targets. The effects of Nb addition on the microstructures and mechanical properties of HEAFs were systematically investigated. For Nb-free film (0 at.% Nb), the face-centered cubic (FCC) peaks were identified in the X-ray diffraction (XRD) pattern. The addition of Nb resulted in a broadening of diffraction peaks, a decrease in peak intensity, and the vanishment of high-angle peaks. Transmission electron microscope (TEM) images indicated the formation of nanotwins at low Nb concentrations, and a transition from a single phase FCC solid solution to an amorphous phase was observed with the increasing Nb concentration. The films were strengthened with an increase in Nb concentration. Specifically, the hardness characterized by nanoindentation increased from 6.5 to 8.1 GPa. The compressive yield strength and fracture strength measured from micropillar compression tests were improved from 1.08 GPs and 2.56 GPa to 2.70 GPa and 5.76 GPa, respectively, whereas the fracture strain decreased from >29.4% (no fracture) to 15.8%. Additionally, shear banding was observed in the presence of amorphous phase.