Simultaneous optimization of core loss and saturation magnetization in soft magnetic composites (SMCs) is crucial for the development of high frequency and high power in power electronic devices. In this work, FeSiAl/(Al2O3-Co) and FeSiAlCo/Al2O3 SMCs were prepared by sintering FeSiAl/Co3O4 composite powders at different temperatures. The corresponding structural evolution mechanism and magnetic properties of the prepared SMCs were studied systematically. When the sintering temperature was below 950 ℃, a chemical reaction at the FeSiAl/Co3O4 interface occurred and led to the formation of Al2O3-Co composite coating. The Al2O3 coating, as an isolation band, can effectively hinder the interdiffusion between Co coating and FeSiAl magnetic powder. When the sintering temperature increased to above 1000 ℃, the interdiffusion began to occur and was accelerated by the high temperature and chemical potential educed by concentration gradient, finally resulting in the formation of FeSiAlCo alloy. The prepares SMCs exhibited a low core loss due to the high integrity of Al2O3 coating. Its saturation magnetization and permeability significantly increased with the sintering temperature due to the generation of Co coating with ferromagnetism. This work provides a new strategy for the construction of ceramic oxide coating with high integrity and elemental doping of magnetic powder in SMCs, which is expected to be applied to the preparation of high-performance SMCs.