High-entropy alloys (HEAs) represent a relatively new group of multicomponent alloys that have shown great potential for applications that require tribological and oxidation resistant properties. Consequently, thermally sprayed coatings of different HEA chemistries have also received increasing research attention. In this paper, atomized equimolar CrFeCoNi and AlCrFeCoNi feedstocks were used for high velocity air-fuel spraying to produce overlay coatings using two different nozzle configurations. The microstructure, phase constitution and hardness of the coatings were analysed. The coatings were also tested for their oxidation behaviour and their erosion resistance. The performance of the two HEA chemistries was compared with two commercial MCrAlY coatings that are well-established bond coat materials. Furthermore, an investigation was conducted to test the coatings’ performance as bond coats by applying suspension plasma sprayed yttria stabilized zirconia top coats and evaluating the thermal cycling behaviour of the thermal barrier coatings systems. The AlCrFeCoNi-coating was found to demonstrate a lower oxidation rate than CrFeCoNi. The AlCrFeCoNi chemistry also compared well with the commercial bond coat material that has been optimized after several years of development, although the former was found to form more rapid oxide scales. The HEA coatings also exhibited similar erosion resistance compared to coatings deposited with the commercial MCrAlY material.