Sulfur dioxide (SO2) is an extremely harmful pollutant in diesel engine exhaust fumes, which must be controlled and removed effectively. In order to better integrate desulfurization materials into diesel exhaust systems, a new desulfurization powder coating (DeSOx coating) was prepared. The SO2 capture performance and kinetics of the DeSOx coating were subsequently studied. This study used a fixed-bed reactor to test the DeSOx coating SO2 capture performance and conduct kinetic analysis at various temperatures and gas flows. The analysis obtained the kinetic parameters of the activation energy and Arrhenius constant, with the derived rate control equations, under isothermal conditions. The DeSOx coating and filter which were prepared using metal oxide powders, SiO2 colloidal sol, and additives, exhibited an enhanced SO2 capture performance. In this experiment, an MnO2/SiO2/LiOH coating had the best SO2 removal rate and capture capacity at 400 °C. Under a reaction space velocity of 10700 h−1, the MnO2/SiO2/LiOH coating SO2 removal rate was 100% within the first hour of reaction. Under a reaction space velocity of 32000 h−1, the MnO2/SiO2/LiOH coating SO2 capture capacity was 132.7 mgSO2/gmaterial during the second hour of reaction. The SO2 capture conversion rate of the DeSOx coating and filter follows the second-order kinetic mechanism model. For the MnO2/SiO2/LiOH coating, the Arrhenius equation gives an activation energy of 4952 J/mol and the Arrhenius natural logarithmic constant is 8.969 s−1. For the MnO2/SiO2/LiOH filter, the activation energy of the rate constant is 214 J/mol, and the Arrhenius natural logarithmic constant is 3.744 s−1. Therefore, the desulfurization coating is an effective way to remove SO2 pollutants from diesel exhaust gases.