The substitution of Fe by Co can effectively increase the Curie temperature of Nd-Fe-B magnets. However, the enrichment of Co in the grain boundary phase makes the grain boundary phase change from nonmagnetic to ferromagnetic, which has a harmful effect on the coercivity. In this paper, Dy70Al10Cu20 alloy was used as the diffusion source for grain boundary diffusion of sintered Nd-Fe-Co-B magnets. The magnetic properties and microstructure of the magnets were investigated by controlling the coating thickness of the diffusion source (thickness of 0.03 mm, 0.09 mm, and 0.15 mm). The results show that the coercivity of the magnet after diffusion is increased to 17.63 kOe, which is 9.69 kOe higher than that of the undiffused magnet. The phase composition analysis shows that the original magnet contains the soft magnetic 2:17 phase, and the 2:17 phase is significantly reduced after diffusion. The microstructure observation shows that the main phase is connected and the grain boundary phase is absent in the high Co original magnet. After diffusion, the thin grain boundary phase in the magnet increases, which effectively isolates the main phase grains. Dy-rich shell is formed on the surface of the main phase grain, which is beneficial to the improvement of coercivity. Therefore, magnetic hardening of Dy-rich shells and exchange-decoupling strengthening of adjacent 2:14:1 grains isolated by intergranular phases contributed to further coercivity increment Hcj of magnet simultaneously. Studies have shown that grain boundary diffusion is an effective way to improve the microstructure of Nd-Fe-Co-B magnets.