The lubricating coating with good wear resistance at high temperatures is a critical challenge for the protective coatings of aerospace engine rotor. High-entropy alloy coatings show a potential to deal with that. The impacts of various oxygen contents in VAlTiCrW high-entropy alloy coatings on the mechanical properties at room temperature and tribological properties at 700 °C were studied systematically. When the oxygen flow increased from 0 sccm to 10 sccm, the hardness of the coatings increased from 3.3 GPa to 11.9 GPa, and the elastic modulus increased from 79.92 GPa to 181.7 GPa. Meanwhile, the coating featured the lowest coefficient of friction (COF, 0.17) and the lowest wear rate of 3.38 × 10−5 mm3/Nm. The Magnéli phase V2O5 in the coating was the key to reducing the COF, while the hard oxide phase such as WO3 and AlVO4, reduced the wear rate of the coatings.