Intermetallic materials have excellent high temperature oxidation resistance and erosion and cavitation resistances. It is the promising coating materials with many potential industrial applications. In this study, formation of Fe-Al intermetallic compound based coating was performed through using cold spraying assisted by post annealing treatment. Fe-Al alloy composite powder containing 20wt% WC-Co was produced by ball milling process. Nano-structured Fe-Al alloy coating was deposited through cold spraying. The coating was annealed at different temperatures. The microstructure of the coating was characterized by scanning electron microscopy, transmission electron microscopy, x-ray diffraction analysis. The effect of annealing temperature on the coating microstructure evolution was examined. It was found that the microstructure of the as-sprayed coating depends significantly on the microstructure of powder. Fe-Al intermetallic phase was evolved during annealing at a temperature higher than 500^oC. Moreover, grain growth occurred with the increase of annealing temperature. The results showed that microhardness of the as-sprayed coating reached to over 600Hv. The effect of annealing treatment and coating microstructure on coating hardness was examined.