High-entropy ceramic (HEC) films refer to the carbide, boride, oxide, or nitride films of the high-entropy alloy, which have potential applications under high temperatures. In this study, we fabricated the HEC NbTiAlSiZrNx films using magnetron sputtering under various deposition atmospheres. The phase structure evolution and the mechanical properties of three HEC films under high temperatures were investigated. The HEC films demonstrated good thermal stability as well as high hardness. After annealing for 24 h at 700 °C, the films remained in an amorphous phase without obvious crystallization, and the hardness of the films declined. Nanocrystallizations occurred in films deposited at a nitrogen flow rate of 4 sccm and 8 sccm after annealing for 30 min at 900 °C and exhibited an face-centered cubic structure. HEC NbTiAlSiZrNx films have potential applications as protective coatings under high temperatures.