In this study, CoCrFeNiMo0.2 high entropy alloy coating (average thickness of 990 μm) without defects was successfully prepared on the Inconel 718 substrate by laser cladding. Microstructure and properties were investigated systematically by multiple characterization methods. The EDS and ECC find that the coating has good metallurgical bonding with the substrate. The thermal erosion test indicates that the formation of a passive film with Cr and Mo elements improves the thermal erosion resistance of the coating. According to the results of microhardness tests, the average microhardness in the coating is about 328.9 HV (1.28 times of the substrate). The coating with low wear width (0.454 mm) and depth (7.085 μm) shows outstanding wear resistance due to the formation of the σ phase particles and the fine-grain strengthening. The coating surface's average residual stress is −723.3 MPa (compressive stress), which prevents crack generation. Furthermore, the corrosion resistance of the coating is obviously improved.