In this study, FeCoCrAlNi high entropy alloy (HEA) anti-wear coating was prepared on 304 stainless steel by plasma spraying. The results show that the HEA powder and coating phase is mainly the BCC phase. The microstructure of the splat exhibits a disk shape without obvious splashes, and the coating presents a dense microstructure with a typical lamellar structure. The average microhardness of the coating is 411 HV1.0 which is almost 1.5 times that of the 304 stainless steel substrate. Compared with the substrate, the HEA coating exhibits a better wear resistance property under a high load (20 N) at room temperature and 800 °C. The wear mechanisms for the FeCoCrAlNi coating were oxidation wear and mild abrasive wear at room temperature, and mild abrasive wear, oxidation wear, adhesive wear and the formation of oxide films at high temperature. These results indicate that HEA can be a promising high-temperature anti-wear coating material under severe working conditions.