Thermal spray high-entropy alloy (HEA) coatings have demonstrated potential for improving the wear resistance of conventional materials used in extreme engineering environments. In the present work, an equiatomic AlCoCrFeNi HEA coating was manufactured using the high velocity air fuel (HVAF) process. The phase and microstructural transformations in gas-atomized (GA) powder during HVAF spraying were analyzed using SEM, EDS and EBSD techniques. The tribological properties of this HEA coating sliding against an Al2O3 ball at both room temperature (RT) and 600 °C were also evaluated. The GA powder was composed of Body Centred Cubic (BCC) + ordered BCC (B2) phases, which transformed to BCC + B2 + minor Face Centred Cubic (FCC) phases during the HVAF coating process, validating the thermodynamic phase prediction projected by the Scheil simulation for non-equilibrium processing conditions. The rapid solidification and high velocity impact-assisted deformation of GA powder resulted in significant grain refinement in the HVAF coating, which ultimately improved the mechanical properties at both micro and nanoscale levels. The wear resistance of the HEA coating at RT was severely impacted by the relatively brittle BCC/B2 phase structure, leading to susceptibility to abrasive wear and surface fatigue. The wear resistance at 600 °C was slightly lower at RT due to the formation of a brittle oxide layer on the worn surface, which induced surface fatigue and aggravated mass loss of the coating.