The process parameters of internal laser cladding have a significant influence on the dilution rate and hardness of CoCrFeNiMo0.2 high entropy alloy (HEA) coatings. In this paper, the influence of the key parameters for preparing CoCrFeNiMo0.2 coatings, namely laser power, scanning speed, and powder feeding rate on dilution rate and microhardness were systematically investigated. Polynomial mathematical models of the dilution and the microhardness were designed using the Response Surface Methodology (RSM), and the effects of each parameter on the objective response were investigated in depth. Then the quadratic models were used as the constraint functions and the multi-parameter multi-objective optimization algorithm was applied to find the minimum dilution rate and maximum microhardness. The algorithm was then utilized to predict the optimal combination of parameters to manufacture the internal HEA coating. Finally, the tribological behaviors of the coating were analyzed. The internal CoCrFeNiMo0.2 coating consisted of a single FCC solid solution phase. Only a small amount of hybrid texture phenomenon appeared in the coating. The coefficient of friction was approximately stable around 0.61, and the wear mechanism consisted of abrasive, adhesive, and oxidative wear. The coating has excellent tribological properties. The reliability of the RSM for the optimization of the internal HEA coating was demonstrated.