High-entropy alloys (HEAs) are a new generation of materials that exhibit unique characteristics and properties, and are demonstrating potential in the form of thermal spray coatings for demanding environments. The use of HEAs as feedstock for coating processes has advanced due to reports of their exceptional properties in both bulk and coating forms. Emerging reports of thermal sprayed HEA coatings outperforming conventional materials have accelerated further exploration of this field. This early-stage review discusses the outcomes of combining thermal spray and HEAs. Various synthesis routes adopted for HEA feedstock preparation and their properties are discussed, with reference to the requirements of thermal spray processing. The HEA feedstock is then compared and correlated with coating microstructure and phase composition as a function of the thermal spray processing route. Subsequently, the mechanical behavior of thermal spray HEA coatings is summarized in terms of porosity, hardness, and tribological properties, along with their oxidation and electrochemical properties, followed by their potential applications. The thermal spray methods are contrasted against laser cladding and surface alloying techniques for synthesizing thick HEA coatings. Furthermore, HEAs that have displayed excellent properties via alternative processing routes, but have not been explored within the framework of thermal spray, are recommended.