Fully dense and thick Ni/FeSiAl soft magnetic composite deposits were successfully fabricated by cold spraying (CS) using the Ni-coated FeSiAl composite powder. To improve magnetic properties, the post-annealing treatments were conducted on CS deposits to eliminate the undesired internal defects, like strain stress and dislocations, and fine grains. Characterization of the composite coating was carried out in terms of X-ray diffraction (XRD), energy-dispersive X-ray spectroscopy (EDS) and electron backscatter diffraction (EBSD) analyses. XRD patterns displayed that no newly formed phases were observed at different annealing temperatures, even though EDS analysis showed obvious element diffusion between Ni matrix and FeSiAl particles at the temperature of 800 degrees C for 2 h. Grain growth and stress relief after annealing treatment were proved by both XRD and EBSD analyses. The magnetic property measurements showed that the coercivity was decreased by around two times (from 62 to 30 Oe) and the magnetization saturation was increased by 15% (from 68 to 80 emu/g). The relevant mechanisms were discussed in terms of microstructural evolution. This work shows that the post heat treatment can be a potential method to improve the soft magnetic properties of CS coating.