The development of materials that can withstand high thermal and mechanical loads is in focus of many materials’ science activities. In this respective, a relatively new class of materials, so-called high-entropy materials, gained enormous attraction. These alloys consist of multiple principal elements (more than 5), which lead to a high configurational entropy (> 1.5R, R being the universal gas constant) if single-phased. In many cases these materials either metallic or ceramic outperform their binary or ternary equivalents. Here we show the beneficial effect of the high-entropy concept applied to several thin film material systems including borides, carbides, nitrides, and oxides. All the investigated coatings are based on refractory metals, including Cr, Hf, Nb, Ta, Ti, V, W, and Zr. The study focuses on the preparation by physical vapor deposition, their thermal stability and mechanical properties. All coatings investigated are comparably insensitive to the change of deposition parameters, such as reactive gas flow and bias potential. Furthermore, they exhibit outstanding thermal stability and significantly retarded decomposition and softening processes, outperforming their commonly-used binary or ternary constituents.