A novel TiN/(CrVTaTiW)Nx multilayer coating, consisting of the high-entropy alloy nitride and the binary nitride was prepared by DC magnetron sputtering. Detailed investigation about the microstructure and mechanical attributes of the multilayer films was conducted, with particular emphasis on the influence of high entropy nitride (HEN) modulation layer’s thickness. The results reveal that all samples exhibited a face-centred cubic (fcc) crystal structure with a (111) preferred orientation. Notably, the hardness and elastic modulus of multilayer films increase with increase of the HEN layer’s thickness. When the thickness of the HEN layer reached 4.8 nm, the hardness and elastic modulus of the TiN/(CrVTaTiW)Nx multilayer reached the maximum values of 25.33 GPa and 311.95 GPa, respectively. These results indicate the key role of the HEN layer as a modulation layer within the coating, ultimately demonstrating the importance of thickness on the structure and properties of TiN/(CrVTaTiW)Nx nanomultilayer films.