The invention discloses a multi-element alloy coating, a zirconium alloy cladding and a fuel assembly. The multi-element alloy coating is prepared from the following elements in percentage by mass: 65percent to 90 percent of Cr, 3 percent to 13 percent of Al, 0.5 percent to 8 percent of N, 5 percent to 20 percent of Fe, and 1.5 percent to 12 percent of Zr. The multi-element alloy coating disclosed by the invention can be applied to the zirconium alloy cladding, so that the problem of thermal expansion mismatch between the coating and a matrix is solved, thermal stress is reduced, the hardnessand the abrasion resistance performance of a conventional Cr coating are further promoted; and through regulation and control of multi-element components, the anti-oxidation performance is enhanced,and an anti-oxidation protection effect of the coating under high-temperature steam environment of 1200 DEG C is realized.