The effect of additives (Al2O3, Cr2O3, Fe3O4 and SiO2) on microstructure and properties of the FeAl2O4 matrix composite coatings prepared by plasma spraying of Fe2O3–Al–MexOy composite powders was investigated. The as-prepared coatings were composed mainly of FeAl2O4, α-Fe and Al2O3. The additives have an effect on the chemical composition, microstructure and properties of the composite coatings. There were new phases FeCr2O4 and Cr formed in the composite coating with Cr2O3 additive, and their lamellae were thinner than the ones in the coatings without any additive. The FeAl2O4, Fe3O4 and Fe2O3 increased and α-Fe decreased in the composite coating with Fe3O4 additive, and the lamellae in the coating were the thinnest. The microstructure of the composite coating with SiO2 additive coarsened significantly and became porous due to the addition of SiO2 additive. The microhardness and wear resistance of the composite coating with Cr2O3, Fe3O4 and Al2O3 additives were higher than that of the composite coating without additive. This result was attributed to the microstructure refinement strengthening, dispersion strengthening and second phase strengthening effects. The microhardness and wear resistance of the composite coating with SiO2 additive were lower than that of the composite coating without additive, which was attributed to its porous and coarser microstructure.