Mechanical metamaterials such as microlattices are an emerging kind of new materials that utilize the combination of structural enhancement effect by geometrical modification and the intrinsic properties of its material constituents. Prior studies have reported the mechanical properties of ceramic or metal-coated composite lattices. However, the scalable synthesis and characterization of high-entropy alloy (HEA) as thin film coating for such cellular materials have not been studied previously. In this work, stereolithography was combined with Radio Frequency (RF) magnetron sputtering to conformally deposit a thin layer (~800 nm) of CrMnFeCoNi HEA film onto a polymer template to produce HEA-coated three-dimensional (3D) core-shell microlattice structures for the first time. The presented polymer/HEA hybrid microlattice exhibits high specific compressive strength (~0.018 MPa kg-1 m3) at a density well below 1000 kg m-3, significantly enhanced stiffness (>5 times), and superior elastic recoverability compared to its polymer counterpart due to its composite nature. The findings imply that this highly scalable and effective route to synthesizing HEA-coated microlattices have the potential to produce novel metamaterials with desirable properties to cater specialized engineering applications.