The Al–Si coatings are commonly used for hot-press-forming (HPF) steel to prevent oxidation in the automobile industry. However, due to the presence of Al–Si coating, undesirable intermetallic compounds are easily formed in the welds of HPF steel. In this work, an environment-friendly and effective nanosecond pulsed laser cleaning process was used to remove the Al–Si coating, and HPF steel with varying thicknesses of coatings was prepared for laser welding. The microstructure and mechanical properties of laser welded HPF steel with different thicknesses of coatings were further investigated. The results showed that there was a threshold of power to remove the Al–Si coatings in the laser cleaning process. The reduced thickness of coatings not only could improve the stability of the welding process due to the diminishing of metal vapor generated by coating ablation, but also decrease the content of the Fe–Al phase in the welded joint, which is detrimental to weld performance. The tensile strength and cupping test pass rate of weld joints gradually increased with the decreasing thickness of coatings to 5 μm. After that, the Al–Si coating almost had no effect on the mechanical properties of the laser weld joints. The laser weld joint with 5 μm-thick of Al–Si coating showed, a tensile strength of 1435.05 MPa, a microhardness of 488.38 HV and a pass rate of 100% for the cupping test.