Multi-Principal Element Alloys (MPEA) were designed to possess good strength, ductility, wear and corrosion resistance, and biomedical compatibility. There are many applications where failure is associated with surface-related degradation, and suitable coatings can mitigate them. This study focuses on the development of MPEA coatings using the HVOF thermal spray process and explores their mechanical and tribological responses. In the present study, the transitional and refractory elements-based feedstocks were prepared by a mechanical alloying process using a high-energy ball mill for 5 h, 10 h, and 15 h milling time. The molar ratio of the developed coating was TiNbMoMnFeOX (1:1:1:1:1:X, where X = 0.48 to 0.62). Thus, prepared feedstock powders and coatings were characterized to record their metallurgical, mechanical, and tribological responses wherever it is applicable. The used scientific tools include X-ray diffraction analysis (XRD), X-ray photoelectron spectroscopy (XPS), scanning electron microscope (SEM), field emission scanning electron microscope (FESEM), universal tribometer, and nanoindenter set-up. The results showed that mechanical alloying led to the formation of MPEA, and the 15 h milled MPEA powder coating expressed superior performance. Furthermore, the process exhibited significant microstructural changes in the alloy system, and dual (TiNb and TiMo) and ternary (TiNbMo) BCC phases were developed during the process. These BCC phases were responsible for the coating's improved mechanical and tribological responses. The solid solution hardening of the ternary phase (TiNbMo) was the most dominant mechanism for improving the mechanical and tribological properties.