High entropy alloys (HEAs) are multi-elemental alloy systems that exhibit a combination of exceptional mechanical and physical properties, and nowadays are validating their potential in the form of thermal sprayed coatings. In the present study, a novel synthesis method is presented to form high entropy alloy coatings. For this purpose, thermal sprayed coatings were deposited on Stainless Steel 316L substrates using atmospheric plasma spraying technique with subsequent annealing, at 1000 °C for 4 h, to assist alloy formation by thermal diffusion. The coatings in as-coated samples as well as in annealed forms were extensively studied by SEM for microstructure and cross-sectional analysis. Phase identification was performed by X-ray diffraction studies. The annealed coatings revealed a mixed BCC and FCC based HEA structure. Potentiodynamic corrosion behavior of SS316L sprayed as well as annealed coatings were also carried out in 3.5% NaCl solution and it was found that the HEA-based annealed coatings displayed the best corrosion resistance 0.83 (mpy), as compared to coated/non-annealed and SS 316 L that showed corrosion resistance of 7.60 (mpy) and 3.04 (mpy), respectively.