Solar selective absorber coatings (SSACs), with the characteristics of efficient harvesting and conversion of solar energy into the heat work fluid, are considered to be one of the key components for the concentrating solar power (CSP) system. In this work, a nanometer-thick high-entropy alloy nitride Al0.4Hf0.6NbTaTiZrN-based SSAC is successfully deposited. The as-deposited coating exhibits a high solar absorptance (0.931) and a low emittance (0.064), which produces a high solar–thermal conversion efficiency (ηsolar-th = 77.4%) at 1000 K black-body radiation. The thermal stability test indicates that significant degradation of the coating appears in the range of 293–773 K, but the absorptance reaches up to 0.917 when the annealing temperature increases to 873 K. The optical properties, microstructure, element distribution, and the detailed failure mechanism of these nanometer-thick coatings are comprehensively studied. All these merits endow the proposed Al0.4Hf0.6NbTaTiZrN-based solar absorber coatings with a potential application in solar energy harvesting.