The combination of technical advantages of high entropy alloys (HEAs) and manufacturing capabilities of thermal spray (TS) offer potential towards new protective coatings to address extreme engineering environments. In this research, equi-atomic AlCoCrFeNi HEA coatings were synthesized via atmospheric plasma spray (APS) using mechanically alloyed feedstock, and a correlation between microstructure and mechanical properties in terms of both hardness and wear were established at multiscale levels. In addition, electrochemical performance in sea water and the overall residual stress distribution in the HEA coatings were also assessed. Superimposition of scanning electron micrographs and statistically analysed heat and contour maps using nanoindentation datasets revealed deviations in localized properties within and across individual phases; which were supported by Weibull plots of individual phases. Scanning wear tests revealed superior nanowear resistance of oxide phases developed by in-flight oxidation during APS process. In comparison, the HEA phases in the coating exhibited significant localized plastic deformation. The outcome of macroscale wear testing postulated that plasma sprayed AlCoCrFeNi HEA coatings exhibited superior wear resistance at high temperature (500 °C) than at room temperature, signifying high thermal stability of the coating. Residual stress generated due to plasma spray was measured using neutron diffraction and was tensile in nature. The corrosion resistance of the coating was slightly lower than that of SS316L, however, the anodic and cathodic polarization behaviour of HEA coating were identical to that of SS316L, indicating that the AlCoCrFeNi-based HEAs have prospects as corrosion resistant materials. © 2020 Elsevier B.V.