High-entropy alloys (HEAs) represent a transformative class of multi-principal-element materials offering exceptional combinations of strength, corrosion resistance, and thermal stability, positioning them as strong candidates for next-generation engineering applications. In the present study, a nearly eutectic AlCoCrFeNi HEA was joined to 316L austenitic stainless steel via gas tungsten arc welding (GTAW), with the primary objective of evaluating the metallurgical compatibility and mechanical integrity of this dissimilar joint system. Welding was performed at a torch speed of 3.5 mm/s and a current intensity of 90 A under a protective argon atmosphere. A comprehensive, multi-scale characterization approach was employed to elucidate the processing–microstructure–property relationships governing joint performance. Characterization techniques included optical and scanning electron microscopy, synchrotron X-ray diffraction (SXRD), Vickers microhardness mapping, and uniaxial tensile testing. The results demonstrate excellent weldability between the AlCoCrFeNi HEA and 316L stainless steel, with a well-defined microstructural gradient evolving across the fusion zone and heat-affected regions. Elemental interdiffusion across the interface was found to promote metallurgical bonding without the formation of detrimental intermetallic phases, contributing to the overall joint integrity. The dissimilar joints achieved a favorable combination of tensile strength (~568 MPa) and fracture strain (~11.7%), with fracture occurring within the fusion zone, underscoring their suitability for load-bearing structural applications. This work establishes a robust methodological framework for the systematic integration of HEAs into conventional engineering systems through dissimilar metal joining, thereby accelerating their transition from laboratory-scale research to industrial deployment.