Although numerous studies have explored the tribological performance of CoCrFeNi-series high-entropy alloy (HEA) and its coatings, how tribo-oxidation governs the wear behavior across different coating compositions, particularly when processed by high-velocity oxygen-fuel (HVOF) spraying, has not been systematically established. In this study, the microstructure and tribological behavior of CoCrFeNi, AlCoCrFeNi, and MnCoCrFeNi HEA coatings prepared via HVOF spraying were comparatively investigated. The findings reveal that the tribological performance of these HEA coatings is primarily influenced by the characteristics of the tribo-oxide films and related interactions with the coating matrix, rather than by hardness alone under the present testing conditions. Notably, the MnCoCrFeNi coating exhibits superior wear resistance sliding against both GCr15 steel and Al2O3 counterparts, despite its lower hardness (424.5 HV) than AlCoCrFeNi coating. Superior performance is attributed to the formation of adherent and uniform MnCr2O4 spinel oxide films with moderate hardness and relatively higher crack initiation resistance. In this case, synergistic tribo-oxidation, mild abrasive wear, and controlled plastic deformation collectively suppress material loss. Furthermore, the spatial distribution of oxygen within the wear tracks is identified as a useful descriptor of the tribo-oxide film properties and the actual wear conditions. These findings provide insight for designing advanced anti-wear metallic coatings with tailored tribo-oxide films.