Microstructural properties of as-grown and annealed CoCrFeMnNi high entropy alloy (HEA) oxynitride thin films were investigated. The CoCrFeMnNi HEA oxynitride thin film was grown by magnetron sputtering method using an air gas, and annealed under the argon plus air flow for 5 h at 800 °C. The as-grown film was homogeneous and uniform composed of nanometer-sized crystalline regions mixed with amorphous-like phase. The crystalline phase in the as-grown film was face centered cubic structure with the lattice constant of 0.4242 nm. Significant microstructural changes were observed after the annealing process. First, it was fully recrystallized and grain growth happened. Second, Ni-rich region was observed in nanometer-scale range. Third, phase change happened and it was determined to be Fe3O4 spinel structure with the lattice constant of 0.8326 nm. Hardness and Young’s modulus of the as-grown film were 4.1 and 150.5 GPa, while those were 9.4 and 156.4 GPa for the annealed film, respectively.