Cold spray (CS) and laser-assisted cold spray (LACS) processes were used to deposit four CrMnCoFeNi Cantor alloy coatings on mild steel substrates. Three different laser powers of 1, 3, and 4 kW were used for LACS deposition. The microstructures and mechanical properties of all four coatings were analyzed and compared. Scanning electron microscopy showed that the quality of bonding between splats in the LACS coatings was superior to the CS. A decrease in porosity was also observed for higher LACS laser powers. Nanoindentation testing revealed that increasing the laser power decreased the nanohardness of the coating due to an annealing effect causing coarser grain size, but an increase in microhardness in the LACS coatings was observed due to higher cohesion strength. Scratch testing and multi-load microindentation showed that the relative cohesion strength of the coatings increased with increasing laser power due to increased thermal stresses. The corrosion and wear performance of the coatings were studied and correlated with the varying degrees of oxidation, grain growth, and cohesion strength in each coating. By choosing an appropriate laser power, a LACS coating’s hardness, corrosion rate, cohesion strength, and wear rate can be made superior to its CS counterpart. However, an excessively high LACS laser power was detrimental to substrate adhesion, nanohardness, and corrosion properties of the CrMnCoFeNi Cantor alloy coatings due to increased thermal stresses, grain growth, and oxidation.