For the past 19 years, high entropy alloys (denoted as HEAs) have piqued the interest of many researchers due to their unique properties. Sputtering High Entropy Alloys on bulk materials, on the other hand, have been widely utilized due to their low cost of manufacture. This paper reviews the most recent trends and advancements in sputtered HEA coatings, thin film research, and development. Firstly, HEA coating and thin films were introduced. Then, a look at sputtering technologies and procedures is presented, followed by a summary of recent research on sputtered HEA thin films, properties, and applications. From reviewed literature, it can be deduced that HEAs that include the full nitride element have greater mechanical and elastic properties, and HEAs generally have the potential for structural, industrial, biomedical, and energy applications. Finally, it is suggested that new stable HEA films and coating research initiatives with various materials be undertaken to widen its applications.