High entropy alloys (HEAs) are the recent category of metallic alloys that exhibit superior properties, especially in extreme working environments, when compared to conventional metal alloys. Their advanced properties make them suitable candidates for various structural and functional applications as surface coating and additively manufactured components. Thus, the suitability of various deposition and fabrication techniques are being explored, taking into consideration the material’s multi-component composition. Among various manufacturing techniques, cold spray has significant merits when handling HEAs. This review is aimed at providing a detailed state of the art of cold-sprayed HEAs. The microstructure evolution after cold spray, as well as the function and performance in terms of wear resistance, mechanical strength, corrosion resistance and oxidation resistance of the deposits are discussed for all cold spray deposits of HEAs. The reported post-treatments applied to HEAs deposits and their effects on functionality are also discussed to help us lay a base for further investigations and developments in the new horizon of HEAs. Perspectives on potential future developments are discussed to provide directions for research investigations in the field of cold spraying of HEAs.