As turbine inlet temperatures in advanced aeroengines and heavy-duty gas turbines continue to rise, conventional thermal and environmental barrier coatings (TBCs/EBCs) are increasingly confronted with critical operational bottlenecks. They are increasingly plagued by deleterious high-temperature phase transformations, thermal expansion mismatch with substrates, and catastrophic degradation induced by molten calcium–magnesium–aluminosilicate (CMAS) and water vapor corrosion. To decisively break these inherent limitations, high-entropy rare-earth oxides (HEREOs) have rapidly emerged as a revolutionary materials paradigm. Driven by configurational entropy stabilization, severe lattice distortion, and sluggish diffusion effects, HEREOs uniquely synchronize ultralow thermal conductivity, tailorable thermal expansion coefficients, and exceptional chemical inertness within a single crystal lattice. This comprehensive review systematically navigates the cutting-edge advancements of HEREOs for next-generation hot-section protection. It first demystifies the intricate process–microstructure relationships during coating deposition, highlighting the nonequilibrium phase evolution induced by thermal spraying. Subsequently, it critically dissects high-temperature phase stability, multiscale defect-engineered thermophysical properties, and intricate failure mechanisms under CMAS and water vapor attack. Notably, to counteract the intrinsic brittleness and improve the inferior fracture toughness of HEREOs, advanced structural engineering—incorporating multiphase synergistic toughening and gradient architectures—is highlighted as a crucial strategy for enhancing thermal shock durability. Finally, transitioning from empirical trial-and-error to a predictive framework, this review envisions a machine-learning-empowered inverse design paradigm, offering a data-driven roadmap for multiobjective optimization and lifetime prediction of highly robust HEREO coatings. This contribution also statistically outlines the latest research trends, offering researchers forward-looking guidance and evidence-based references.