Atmospheric plasma-sprayed FeCoCrNiMo0.2 high-entropy alloy (HEA) coatings were annealed under various temperatures. The effects of annealing temperature on the microstructure and corrosion resistance of the coatings were investigated. The results showed that the grain size of the coating was significantly refined after annealing. With the increase of annealing temperature, the streamlined fluctuation of the interlayer structure of the coating layer gradually increased. Mo atoms with lower solid solubility precipitated from the HEA lattice. At the same time, the porosity first decreased and then increased. The lowest porosity of the coating was found at 1000°C. When the annealing temperature was increased from 0 to 1000°C, the open circuit point potential of the coatings was positively shifted from − 0.49844 to − 0.43651, Ecorr was positively shifted from − 0.73 V to − 0.57 V, and the Icorr was decreased from 6.992 × 10−6 A/cm2 to 2.1747 × 10−6 A/cm2. Reduced porosity, an increase in oxide streamline fluctuations, and the precipitation of Mo atoms to form a stable cured film were the main reasons for the improved corrosion resistance of the coatings. Excessively high annealing temperatures can lead to cracks in the coating under stress. Coatings annealed at 1000°C had the best corrosion resistance.