Abstract: In the 1990s, Ye, a scholar from China, broke the routine with a creative idea of the concept of high entropy alloys (HEAs). Since then, new alloys, which breached the traditional concept of “primary component”, have caught great attention of scientists at home and abroad. Due to their excellent properties such as high hardness, strength, wear resistance, corrosion resistance, thermal resistance, and irradiation resistance, HEAs have been considered as a new generation of thermal spray materials with immense potential for industrial applications. Previous studies show similar or even better properties of HEA coatings compared to those of the HEA block. The preparation of the coatings has become the key point since then. Spraying is one of the common methods on preparing HEA coatings, including conventional methods such as plasma spraying, supersonic flame spraying, high-velocity arc spraying, and cold spraying. With their own advantages and disadvantages, appropriate spraying methods and parameters should be selected according to different matrix and spraying materials, which will be discussed in this paper. First, the theoretical basis of the HEAs were introduced. Next, starting from different thermal spraying processes, the research and development status of plasma spraying, supersonic flame spraying, high-velocity arc spraying, and cold spraying on the preparation of HEA coatings were reviewed. Raw material selection, preparation process optimization, performance research, coating post-treatment, and other aspects of the above four thermal spraying techniques to prepare HEA coatings were systematically summarized. Finally, the three problems of limited existing thermal spraying techniques for preparing HEA coatings, limited thermal spraying materials, and aimless design of HEA coatings were proposed. Moreover, three future development issues of new thermal spraying techniques and optimization of existing techniques were discussed along with the development of high entropy ceramics, high entropy amorphous alloys, high entropy composite materials, and other new thermal spray materials. Finally, an HEA database was established to prepare HEA coatings using the concept of material genome to solve the three problems.