A cross-scale study on the effect induced by laser shock peening (LSP) and physical vapor deposition (PVD) coating on the wear and corrosion resistance of FeCoCrNiAl high entropy alloys (HEA) has been made in this work. The nano scale FeCoCrNiAl HEA coating on substrate 304 steel and microscale FeCoCrNiAl HEA has been acquired through PVD nanocoating and LSP, respectively. The micro hardness, friction and corrosion properties have been investigated to evaluate the reliability of the material in application. The results of microhardness and wear test indicate that both approaches have increased the surface hardness of HEA through grain refinement. And the results for corrosion test reveal a competing effect between grain refinement and compressive stress. As the enhancement brought by PVD nano coating is not comparable to the cast sample, due to the side effect brought by grain refinement which will reduce the corrosion resistance. Surprisingly, specimens treated with LSP have better performance in corrosion resistance, as the compressive residual stress induced by LSP enhanced the adhesion between the substrate and modified layer, forming dense passive films to inhibit corrosion ions in the environment and successfully neutralized the side effect brought by grain refinement. Therefore, the modified layer induced by LSP on the surface contributes to the improvement of both wear resistance and corrosion resistance.