The composites of Fe/Al2O3 gradient coatings on steel substrate were prepared by spraying and sol-gel method, and the microstructure and performances of the composites were analyzed. The results show that the adhesion strength of Fe/Al2O3 gradient coatings with FeAlNi transitional layers reaches 25.3MPa when the sintering temperature is 1220°C, and the surface hardness of coatings is four times higher than that of steel substrate. The coatings are mainly composed of α-Al2O3, AlFeO3 and NiFe2O4. There is no obvious hole or macro-interface, while some organization similar to the branch appears in the coatings. The bonding of Fe/Al2O3 gradient coatings and steel substrate mainly depends on adsorption, diffusion and chemical combination.