The corrosion and wear requirements of Zr alloys for application as fuel cladding materials are becoming increasingly stringent. Accordingly, developing surface engineering techniques and high-performance coating materials is crucial for achieving improved surface properties of these alloys. Herein, we propose a strategy for preparing high-performance coatings on Zr alloys using the multilayer cladding technique to prevent the high dilution of Zr alloy substrates because of high-energy beams. A novel Al0.2NbTiV0.1W0.5Zr0.3 high-entropy alloy (HEA) coating with a multilayer structure was prepared on a Zr alloy using multiple laser claddings. The top-layer and interlayer were composed of two body-centered cubic (BCC) phases and a Zr-rich phase. Owing to the multilayer cladding, the top-layer was almost unaffected by matrix dilution and substrate evaporation, leading to a significantly reduced precipitation of the Zr-rich phase in the top-layer. The high hardness and excellent wear resistance of the coating were attributed to the two BCC phases; moreover, both, the Zr-containing HEA and substrate, exhibited adhesive wear. The top-layer exhibited superior pitting corrosion properties, whereas the microstructural inhomogeneity in the interlayer led to intergranular corrosion, dominating the corrosion process. Thus, this study presents a coating material system suitable for Zr alloys with excellent wear and corrosion resistances. The findings can potentially contribute to expanding the application of the high-energy beam technology to Zr alloys.