The effect of cold spray coating parameters on the fatigue life and cracking mechanism of AZ31B-H24 coated with AA7075 powder is investigated. Two sets of coated samples are fabricated based on the selection of different coating parameters. An in-situ control of heat transfer is performed to obtain different residual stress states and microstructure at the aluminum/magnesium interface. Subsequently, the samples are tested under load-controlled fatigue tests at different load amplitudes. Fatigue lives are obtained and the cracking behavior of the two samples is studied and compared with that of uncoated baseline samples. It is revealed that the samples with compressive residual stress at the coating/substrate interface have significantly longer lives (approximately 85% improvement at the same stress) compared with that of the baseline samples. In contrast, samples with tensile residual stress at the interface have similar or slightly improved lives (approximately 24%) compared with that of the baseline samples. The cracking mechanisms of these two samples are considerably different. In the case of compressive samples, cracks initiate at the coating surface and propagate through the splat boundaries of the cold spray coating to the substrate. Conversely, in the case of tensile samples, delamination and cracking initiate at the interface and subsequently propagate to the substrate and through the splats in the coating. The different lives and cracking mechanisms obtained are attributed to the differences in the initial state of stress, details of the microstructure of the nano-size interface layer, and the morphology of the substrate grains adjacent to the interface.