In the field of protective coatings, the demand on materials that can withstand high temperatures and thereby maintain their mechanical properties is growing because in applications such as gas turbines the efficiency is increased with increasing temperature. Therefore, the concept of high-entropy alloys is applied to the field of physical vapour (PVD) deposited coatings because this alloying concept is very promising for bulk metals as well as ceramics. In this study, a high-entropy metal-sublattice diboride (HESB) consisting of Hf, Ta, V, W, and Zr has been synthesised by DC magnetron sputtering at different substrate temperatures. The structure and mechanical properties in as-deposited state were investigated by X-ray diffraction (XRD) and nanoindentation, showing that all samples exhibit a single-phase AlB2-prototype structure and hardness values of ~ 45 GPa. Furthermore, the stress evolution of the different coatings and recovery processes were investigated by curvature measurements using a K-MOS thermal scan wafer curvature. The results show that all the coatings exhibit compressive residual stresses after deposition with the tendency for less compressive stresses when deposited at higher substrate temperatures. Evaluating the thermal expansion coefficient shows a lower value for the HESB than for the used sapphire substrates leading to decreasing compressive stresses during heating the samples. To investigate ongoing recovery processes, the samples were held at a target temperature of 800 °C for 2 hours and subsequently investigated by XRD, nanoindentation, and detailed transmission electron microscopy.