Recently, the materials research community has seen a great increase in the development of multicomponent alloys, known as high entropy alloys (HEAs) with extraordinary properties and applications. In surface protection and engineering, diverse applications of HEAs are also being counted to benefit from their attractive performances in various environments. Thermally sprayed HEA coatings have outperformed conventional coating materials and have accelerated further advancement in this field. Therefore, this review article overviews the initial developments and outcomes in the field of HEA coatings. The authors have also categorized these HEA coatings in metallic, ceramic, and composite HEA coatings and discussed various developments in each of the categories in detail. Various fabrication strategies, properties, and important applications of these HEAs are highlighted. Further, various issues and future possibilities in this area for coatings development are recommended.