In the present investigation, mechanical alloyed CoCrNiTiMo and CoCrNiTiW equimolar HEA powders were employed as feedstock in the development of dense coatings using high-velocity oxy-fuel technique. The dry sliding wear behavior of uncoated substrate and high-entropy alloy (HEA) coatings were extensively investigated at different temperatures and loads using a pin-on-disk tribometer. The microstructures and phases of the mechanical alloyed powders, deposited coatings, and worn surfaces were thoroughly studied. The mechanical alloyed CoCrNiTiMo and CoCrNiTiW HEAs demonstrated the evolution of two BCC solid solutions. However, the deposited coatings reported the formation of additional phases, including Co3Ti intermetallic and NiTiO3 spinel. The microstructural analysis of CoCrNiTiMo and CoCrNiTiW coatings unveiled a compact lamellar structure characterized by robust mechanical interlocking to the substrate. The CoCrNiTiMo and CoCrNiTiW HEA coatings displayed porosities of 1.12 ± 0.05% and 1.39 ± 0.03%, respectively. Additionally, the microhardness assessments revealed superior values for CoCrNiTiMo and CoCrNiTiW HEA coatings, measuring at 927 ± 45 HV0.3 and 951 ± 38 HV0.3, correspondingly. The wear rate of CoCrNiTiMo HEA coating dropped by 70.5%, from 17.34 ± 2.8 × 10−6 mm3/N-m to 5.1 ± 1.6 × 10−6 mm3/N-m with an increment in the wear testing temperature from ambient to 600 °C. Concurrently, the CoCrNiTiW coating experienced a 76.3% drop in the wear rates from 15.8 ± 3.7 × 10−6 mm3/N-m to 3.73 ± 2.1 × 10−6 mm3/N-m. The significant fall in the wear rates at higher temperatures was accredited to the development of oxide tribofilms. CoCrNiTiMo exhibited discernible oxide phases, including CoMoO4, TiO2, and NiO. In contrast, its counterpart, CoCrNiTiW, generated WO3, CoWO4, and TiO2 oxides at a temperature of 600 °C. The adhesive wear at RT transitioned to predominant oxidative wear with slight fatigue and abrasive wear at high temperatures.