Plasma cladding was used to prepare a CoCrFeMnNi high-entropy alloy (HEA) coating under different conditions. The process parameters were optimized using an orthogonal experiment design based on surface morphology quality characteristics, dilution rate, and hardness. The optimal process parameters were determined through range and variance analysis to be a cladding current of 70 A, a cladding speed of 7 cm·min-1, and a powder gas flow rate of 8 L·s-1. During the optimized experiments, both the cladded and annealed CoCrFeMnNi HEA coatings exhibit some pores, micro-voids, and a small amount of aggregation. However, the aggregation in the annealed coating is more dispersed than that in the cladded coating. The cladded CoCrFeMnNi HEA coating consists of simple FCC phases, while a new Cr-rich phase precipitates from the FCC matrix after annealing the coating at a temperature range of 550 °C-950 °C. After annealing at 850 °C, the proportion of the FCC phase decreases compared to the cladded coating, and the number of large-angle grain boundaries is significantly reduced. However, the proportion of grains with sizes below 50 μm increases from 61.7% to 74.3%. The micro-hardness and wear resistance of the cladded coating initially increases but then decreases with an increase in annealing temperature, indicating that appropriate annealing can significantly improve the mechanical properties of the CoCrFeMnNi HEA coatings by plasma cladding. The micro-hardness of the CoCrFeMnNi HEA coatings after annealing at 650 °C increases to 274.82 HV0.2, while the friction coefficient decreases to below 0.595.