The exploration and development of deep and ultra-deep oil and gas resources is an important part of the future energy strategy, and the drilling equipment will be inevitably worn during operation. Using advanced surface engineering technology to strengthen the surface of key vulnerable parts of deep drilling tools can effectively improve drilling efficiency, prolong service life and ensure the operation safety of drilling equipment. At present, there are many studies on the wear properties of the AlCoCrFeNi bulk high entropy alloy, but there are relatively few studies on the wear properties of the AlCoCrFeNi high entropy alloy coating prepared by thermal spraying technology under different loads, especially in the application of key parts of deep drilling tools. In this paper, the AlCrFeCoNi high entropy alloy coating was prepared on 35CrMo steel by High Velocity Oxygen Fuel (HVOF), and then the phase composition of HVOF sprayed AlCrFeCoNi high entropy alloy powder and coating was studied by X-ray diffractometer (XRD). The particle size of the AlCrFeCoNi high entropy alloy powder was measured by a laser particle size analyzer. The microstructure of the powder and coating was analyzed by scanning electron microscope (SEM) and the microhardness of the coating was measured by a Vickers microhardness tester. The wear behavior of HVOF sprayed AlCrFeCoNi high entropy alloy coating under different loads was studied by a friction and wear tester. The worn surface of AlCrFeCoNi high entropy alloy coating was analyzed by SEM and EDS. The elemental composition of the worn surface was analyzed by XPS and the wear volume and surface roughness (Ra) were measured by a three-dimensional white light interference. The results show that HVOF sprayed AlCrFeCoNi high entropy alloy powder is mainly spherical and has good fluidity. The particle size distribution of the powder is 20~60 μm. The HVOF sprayed AlCoCrFeNi high entropy alloy coating is well bonded with the substrate, showing a typical mechanical bonding, and the coating thickness is about 330 μm. The microstructure of the coating is compact and the phase structure is BCC phase.. The coating’s average microhardness [(53 634)HV0.2] is roughly twice that of the 35CrMo steel substrate [(27 820)HV0.2]. With the increase of load, the friction coefficient decreases and the wear rate increases; Comparing the wear rate of the coating with that of the substrate, the wear rate of the coating is about 41% of the substrate under the same load (6 N). The wear failure mechanism of HVOF sprayed AlCoCrFeNi high entropy alloy coating is as follows:under low load (2 N), it is mainly oxidative wear accompanied by slight abrasive wear. Besides, under high loads (4, 6 N), fatigue wear occurs when HVOF sprayed AlCoCrFeNi high entropy alloy coating subjected to repeated shear stress. The wear surface of the coating is composed of various oxides, which can effectively reduce the wear. In summary, HVOF sprayed AlCoCrFeNi high entropy alloy coating has good wear resistance and can effectively provide protection for 35CrMo steel substrate, which is expected to be applied to key parts of drilling tools in deep drilling.