Here in present work, the ferritic/martensitic (F/M) steel HT9 and refractory TaWVCr high entropy alloy coated HT9 were tested in a static oxygen-saturated lead bismuth eutectic (LBE) at 550 °C through corrosion tests and slow strain rate tension tests to investigate the corrosion behavior and mechanism. The fracture pattern of HT9 and TaWVCr/HT9 both show the ductile fracture. Comprehensive microstructural characterizations from atomic-scale examinations to micro-scale fracture analyses were performed to illustrate the underlying mechanisms of the liquid LBE corrosion. It was revealed that the corrosion of HT9 is related to the surface oxide scale cracking, which propagates into the matrix but terminated in the Cr2O3 enriched zone at the crack tip. On the contrary, the stress concentration caused by local degradation of the TaWVCr coating accelerates the oxidation and dissolution of the coating in LBE, leading to the formation of a duplex oxide layer underneath the coating, which allows cracks initiate in the magnetite layer and annihilate in the chromite layer. The micrometer-scale penetrative oxide layer was found within the matrix, due to the inward diffusion of O through the diffusion channels such as dislocation channels of the matrix and the dissolution channels of the coating and this can accelerate the oxidation corrosion of the matrix.