Certain example embodiments relate to coated articles supporting high-entropy nitride and/or oxide thing film inclusive coatings, and/or methods of making the same. The example high-entropy alloys systems described herein are heat stable and may be used in optical coatings. A first material system that may be used in connection with certain example embodiments includes SiAlN with one or more (and preferably two or more) of elements such as Hf, Y, Zr, Ti, Ta, and Nb. A second material system that may be used in connection with certain example embodiments includes TiO, with one or more (and preferably two or more) of elements such as Fe, Co, Ni, Sn, Zn, and N. The material systems may in some cases be high-index materials that can serve as a substitute for titanium oxide in layer stacks, in some example applications.