To optimize the heat treatment temperature for enhancing the microstructure and performance of Sm2O3/FeCoNiCrMn high-entropy alloy (HEA) composite coatings fabricated by laser cladding, the microstructural evolution and mechanical properties of coatings heat-treated at 500 °C, 700 °C, and 900 °C were investigated. XRD, SEM, and EDS analyses revealed that the phase composition remained primarily face-centered cubic (FCC), with secondary phases Co5.24Sm0.97 and Fe7Sm, regardless of temperature. Increasing the treatment temperature from 500 to 900 °C elevated surface residual stress from 412.35 to 461.89 MPa and intensified internal elemental segregation. At 500 °C, the coatings exhibited optimal performance, achieving the highest average hardness (317 HV0.4), lowest wear rate (0.11 mm3/N·m), smallest wear depth (134.27 μm), and minimal elemental segregation, surpassing untreated samples in hardness, wear resistance, and corrosion resistance. These findings highlight the critical influence of heat treatment temperature on HEA composite coatings, with 500 °C identified as the optimal temperature for enhancing mechanical and corrosion properties. This study provides valuable insights for applying laser cladding and heat treatment technologies in aerospace, medical, and automotive industries.