An AlCoCrCuFeNi high-entropy alloy (HEA) coating was fabricated on a pure magnesium substrate using a two-step method, involving plasma spray processing and laser re-melting. After laser re-melting, the microporosity present in the as-sprayed coating was eliminated, and a dense surface layer was obtained. The microstructure of the laser-remelted layer exhibits an epitaxial growth of columnar dendrites, which originate from the crystals of the spray coating. The presence of a continuous epitaxial growth of columnar HEA dendrites in the laser re-melted layer was analyzed based on the critical stability condition of a planar interface. The solidification of a columnar dendrite structure of the HEA alloy in the laser-remelted layer was analyzed based on the Kurz–Giovanola–Trivedi model and Hunt’s criterion, with modifications for a multi-component alloy.