Refractory high-entropy alloy (RHEA) has superior mechanical properties but low room-temperature ductility. However, eutectic heterostructure alloy has strength-ductility trade-off. In this study, the AlFeCrMoNbx (x = 1, 1.2, 1.4, 1.6, 1.8, and 2.0) RHEA coatings were successfully prepared on the surface of an M2 high-speed steel (HSS) by laser cladding. The increase of Nb content promoted the formation of eutectic microstructure, the coating changed from hypoeutectic structure to hypereutectic structure. When x = 1.8, the coating exhibited a near-eutectic structure consisting of BCC and Laves phases with high hardness and wear resistance. After annealed at 750 °C for 8 h, the phases and microstructure of Nb1.8 REHEA coating did not change, contributing to a high microhardness and wear resistance. With annealing temperature rising, the microhardness and wear resistance decreased. After annealing at 1050 °C, the hardness of the coating still remained 549 HV0.2, indicating a good high-temperature softening resistance of REHEA coating.