Diamond/NiCrAl composite powder with a diamond content of 40vol.% is prepared by mechanical alloying process with diamond powder and NiCrAl alloy powder. Cold spraying is employed to deposit diamond/NiCrAl composite coating. To enhance the bonding between diamond particles and NiCrAl matrix, annealing treatment is applied to the as-sprayed coating. The effect of annealing treatment conditions on the microstructure and microhardness and abrasive wear performance of the coating is investigated. The results show the microstructure of the composite powder is completely retained in the coating owing to the low temperature of spray powder during cold spray process. The interface between diamond and NiCrAl matrix is enhanced by the CrxCy layers formed during annealing treatment. Moreover, the cohesion of deposited particles in the coating is improved through metal element diffusion during heat treatment. The hardness and wear performance of the coating is related to coating microstructure and the bonding at the interfaces between diamond particles and NiCrAl matrix.