Compared with traditional alloy films, the thin high-entropy alloy (HEA) films exhibit more excellent mechanical properties and unique physicochemical properties, which have made great progress in the past 14 years. In order to review the recent research progress of thin HEA films, this paper first introduces the preparation technology (sputtering deposition, plasma spraying, laser cladding, plasma-transferred arc-cladding, electrochemical deposition and cathodic-arc-vapor deposition) of thin HEA films, elaborates the classification and characteristics of the most widely used sputtering deposition technology, as well as the advantages & disadvantages and application scope of each technology, and then summarizes the microstructures and properties (mechanical properties, corrosion resistance, wear resistance, irradiation resistance and high-temperature oxidation resistance) of thin HEA films. HEA is a kind of multiple principal-element solid solutions, which breaks the conventional design criteria of alloy materials to obtain particular properties via adding other alloying elements. Therefore, for thin HEA films, the microstructure is denser, the phase structure is more stable, and the system is more complex, which make it exhibit many outstanding performances. Finally, this paper discusses the existing problems and shortcomings in the current research, among which the main problem is that the research on the relationship between structure and performance is not thorough enough, the internal mechanism is not yet clear, so the research should focus on this in the future.