In this paper, the (CoCrFeNi)₉₅Nb₅ high-entropy alloy (HEA) coating with a thickness of 500 μm on Q235 steel substrate was fabricated by plasma spraying. The microscopic results showed that a new Laves phase is formed in the (CoCrFeNi)₉₅Nb₅ HEA coating compared to the HEA powder, and elemental segregation occurs between the dendrites and the interdendrites of the coating, while the interdendritic phase enriches with the Cr and Nb. The phase composition change and elemental segregation behavior were mainly due to the faster cooling rate of the plasma spraying technique. At the junction of the coating and the substrate, the HEA coating bonded well to the substrate; in addition, the width of transition zone was merely 2 μm. The microhardness of the (CoCrFeNi)₉₅Nb₅ HEA coating was 321 HV0.5, which is significantly higher than that of the substrate. In terms of corrosion resistance, the (CoCrFeNi)₉₅Nb₅ HEA coating has good corrosion resistance in NaCl solution. Although the corrosion form was pitting corrosion, the pitting potential of the (CoCrFeNi)₉₅Nb₅ HEA coating was significantly higher than that of other coatings, which was mainly because of the dense passivation film formed by Cr and Nb on the surface of the coating. Once the passivation film was destroyed by Cl⁻, the selective corrosion occurred on the surface of the (CoCrFeNi)₉₅Nb₅ HEA coating. In summary, the (CoCrFeNi)₉₅Nb₅ HEA coating prepared by plasma spraying technology can significantly improve the corrosion resistance and mechanical properties of the Q235 steel substrate.