In this work, the properties of two high-entropy alloys (HEAs) Al25Cr20Fe20Ni35 and Al20Cr20Fe20Ni40 (at.%) were compared for potential application as bond coats in thermal barrier coatings (TBCs). For this reason, both their oxidation resistance under isothermal and thermal shock conditions, as well as diffusion phenomena occurring at the substrate-HEA diffusion couple interface, were investigated. It was determined that both alloys demonstrate good phase stability and oxidation resistance during prolonged exposure to air atmosphere at 1000°C. In the initial 100 h period, selective aluminum oxidation is responsible for the protective scale growth on both materials under both isothermal and thermal shock conditions. However, only the Al20Cr20Fe20Ni40 high entropy alloy maintains a single Al2O3 layer for over 1000 h of oxidation with cyclic temperature changes. On the other hand, diffusion studies indicate that mainly iron and chromium travel between the ferritic steel substrate and the HEAs. Aluminum diffusion is seemingly limited by the unexpected formation of a thin aluminum nitride layer at the interface between the materials. From all these results it can be concluded that the Al20Cr20Fe20Ni40 alloy shows more promise for application in TBCs based on high entropy materials than Al25Cr20Fe20Ni35.