(Al0.34Cr0.22Nb0.11Si0.11Ti0.22)50N50 high-entropy nitride coatings prepared by reactive magnetron sputtering have been proved to have high hardness and superior oxidation resistance. Their thermal stability, adhesion strength, and cutting performance were investigated in this study. Hardness of the coating is 36 GPa, which only decreases slightly to 33 GPa after 900 °C annealing either in air or in vacuum for 2 h. No significant change in phase and microstructure were detected after annealing at 1000 °C. Rockwell C indentation and scratch tests shows that Ti interlayer provides a good adhesion between the nitride film and WC/Co substrates. In various milling tests, inserts coated with (Al0.34Cr0.22Nb0.11Si0.11Ti0.22)50N50 have evidently smaller flank wear depth than commercial inserts coated with TiN and TiAlN, even with their smaller thickness. Therefore, the (Al0.34Cr0.22Nb0.11Si0.11Ti0.22)50N50 coating has great potential in hard coating applications.