This work uses the direct current magnetron sputtering (DCMS) of equi-atomic (AlTiZrHfTa) and Si targets in dynamic sweep mode to deposit nano-layered (AlTiZrHfTa)N_x/SiN_x refractory high-entropy coatings (RHECs). Transmission electron microscopy (TEM), field emission scanning electron microscopy (FESEM), thermogravimetric analysis (TGA), X-ray diffraction (XRD), and X-ray photoelectron spectroscopy (XPS) are used to investigate the effect of Si addition on the oxidation behavior of the nano-layered coatings. The Si-free nitride coating exhibits FCC structure and columnar morphology, while the Si-doped nitride coatings present a FCC (AlTiZrHfTa)N/amorphous-SiN_x nano-layered architecture. The hardness decreases from 24.3 ± 1.0 GPa to 17.5 ± 1.0 GPa because of the nano-layered architecture, whilst Young’s modulus reduces from 188.0 ± 1.0 GPa to roughly 162.4 ± 1.0 GPa. By increasing the thickness of the SiN_x nano-layer, k_p values decrease significantly from 3.36 × 10⁻⁸ g² cm⁻⁴ h⁻¹ to 6.06 × 10⁻⁹ g² cm⁻⁴ h⁻¹. The activation energy increases from 90.8 kJ·mol⁻¹ for (AlTiZrHfTa)N_x nitride coating to 126.52 kJ·mol⁻¹ for the (AlTiZrHfTa)N_x/SiN_x nano-layered coating. The formation of a FCC (AlTiZrHfTa)-N_x/a-SiN_x nano-layered architecture results in the improvement of the resistance to oxidation at high temperature.