In this study, the deposition, annealing process, and oxidation properties of HfNbTaTiZr high-entropy alloy thin films were thoroughly investigated. The films, approximately 250 nm thick, were deposited on MgO substrates by DC magnetron sputtering using a single target. The preparation temperature was identified as a key factor influencing the resulting structure. Amorphous films formed at room temperature, whereas nanocrystalline films, characterized by multiple intermetallic phases, were obtained either by deposition at elevated temperatures (600 °C – 750 °C) or through in situ annealing of amorphous films (600 °C – 700 °C). Positron annihilation spectroscopy revealed that nanocrystalline films predominantly contain vacancy-like misfit defects, with concentration decreasing as the preparation temperature increases. Additionally, amorphous films exhibited a high concentration of large vacancy clusters. X-ray photoelectron spectroscopy showed greater oxygen absorption in amorphous films due to their defective structure, with preferential oxidation of Zr and Hf. Further annealing of naturally oxidized films in a vacuum at temperatures up to 1400 °C led to films' recrystallization and eventually the formation of complex oxides, including ZrO2, HfO2, and various Mg-containing oxides, indicating a reaction with the MgO substrate. This work demonstrates the ability to fine-tune the microstructure and defect characteristics of high-entropy alloy films and highlights their direct correlation with oxidation properties.