Abstract: Recently, research on high-entropy alloys has developed rapidly. While studying high-entropy alloys in bulk, scholars have also conducted in-depth research on high-entropy alloy films, especially high-entropy alloy nitride films. Compared with traditional binary and ternary nitride films, high-entropy alloy nitride films have a simpler and denser structure and better performance, and therefore have great prospects for application in many fields. Research on high-entropy alloy nitride films is still relatively scarce, and the influencing factors of phase structure transformation and mechanical properties need to be further explored. Therefore, it will be an important research direction in the future. Based on a single-target Radio Frequency (RF) magnetron sputtering technique, two series of FeCrVTa_0.4W_0.4 high-entropy alloy nitride films were fabricated on monocrystalline silicon substrates. These are FeCrVTa_0.4W_0.4 nitride composition gradient multilayer films and (FeCrVTa_0.4W_0.4)N_x single-layer films, in which multilayer films are used for solar spectral selective absorption films. Through scanning electron microscope (SEM), X-ray diffractometer (XRD), nanomechanical probe, atomic force microscopy, UV–visible spectrophotometry, contact angle measuring instrument, and four-probe tester, the microstructure, and properties of FeCrVTa_0.4W_0.4 high-entropy alloy nitride films were analyzed. The results show that the film is amorphous when nitrogen is not introduced. When nitrogen content increases, nitride films are face-center-cubic solid solution in structure. When the surface nitrogen flow rate is 15 sccm, the FeCrVTa_0.4W_0.4 nitride multilayer film and the single-layer film have the best mechanical properties. Among them, the hardness of the multilayer film is 22.05 GPa and the modulus is 287.4 GPa; the hardness of the single-layer film is 22.8 GPa, and the modulus is 280.7 GPa. As the nitrogen content on the surface continues to increase, the mechanical properties decrease. FeCrVTa_0.4W_0.4 nitride composition gradient multilayer films have solar spectrum selective absorptivity in the wavelength range of 300–800 nm and have better hydrophobicity when the number of nitride films layer is small. With increasing nitrogen content, the block resistance of (FeCrVTa_0.4W_0.4)N_x single-layer film increases.