In this work, a novel TiAlMoNbW high-entropy alloy (HEA) film and its corresponding nitrid (HEN) film were deposited on CSS-42L bearing steel by magnetron sputtering technology. The microstructure, microhardness, wear resistance, and corrosion resistance of the coated CSS-42L steel were systematically investigated. With the introduction of nitrogen, the crystal structure of TiAlMoNbW HEA film transformed from BCC into FCC. The microstructure of the deposited film became denser and was accompanied by lower surface roughness. The hardness of the nitride film was further increased from 11.43 to 25.7 GPa due to the formation of saturated metal nitride phases and the solid-solution strengthening of various elements. The tribological results showed that both TiAlMoNbW HEA and HEN films with excellent mechanical properties could improve the wear resistance of CSS-42L substrate, especially for the nitrid film, the mechanical properties of the film are significantly improved, resulting in a substantial reduction in the friction coefficient of about 22% and the wear rate of nearly 79%. In the electrochemical tests, both the TiAlMoNbW HEA and HEN-coated samples exhibited lower current densities and corrosion rates in 3.5 wt.% NaCl and 1 mol/L H₂SO₄ solutions. It was also noticed that the TiAlMoNbW nitrid film possessed a superior corrosion protection effect for CSS-42L steel.