Ultra-high Temperature Oxidation-Resistant Alloys (UTORAs) have received a lot of attention due to the increased research demand for deep space exploration around the world. However, UTORAs have the disadvantages of easy oxidation and chalking. So, in this study, a UTORAs is prepared by hot-press sintering on VZrHfNbTa (HEA: High Entropy Alloys can generally be defined as more than five elements by the equal atomic ratio or close to the equal atomic ratio alloying, the mixing entropy is higher than the melting entropy of the alloy, generally forming a high entropy solid solution phase of a class of alloys.) a substrate coated with hafnium. The bonding mechanism, resistance to high-temperature oxidation, and hardness of the sample tests are carried out. The results show that zirconium in the matrix will diffuse into the hafnium coating during the high-temperature sintering process and form the HfZr alloy transition layer, the coating thickness of the composite is about 120 μm, and the diffusion distance of zirconium in the hafnium coating is about 60 μm, this transition layer chemically combines the hafnium coating and the HEA substrate into a monolithic alloy composite. The results of high-temperature oxidation experiments show that the oxidation degree of the hafnium-coated VZrHfNbTa composite material is significantly lower than that of the VZrHfNbTa HEA after oxidation in air at 1600 °C for 5 h. The weight gain of the coated sample after oxidation is 56.56 mg/cm2, which is only 57.7% compared to the weight gain of the uncoated sample (98.09 mg/cm2 for uncoated), and the surface of the uncoated HEA shows obvious dents, oxidation, and pulverization occurred on the surface and interior of the sample. In contrast, the coated composite alloy sample mainly undergoes surface oxidation sintering to form a dense HfO2 protective layer, and the internal oxidation of the hafnium-coated VZrHfNbTa composite alloy is significantly lower than that of the uncoated VZrHfNbTa HEA.