The service of structural materials, such as steels and alloys, in molten salt and sodium-cooled reactors in nuclear power generation is associated with high temperature corrosion of these materials, which leads to degradation and failures of structural components. To prevent these issues and to extend the reactor components' service life, protective coatings on steels need to be employed. In the present work, thermal diffusion protective coatings based on borides and aluminides have been tested, for the first time, in molten Na-K-Mg-chlorides of eutectic composition and in molten sodium at 500 °C in high-purity Ar glovebox where the test conditions simulated molten materials environments in nuclear reactors. The structural and compositional examination of the proposed protective coatings revealed only their minimal changing and deterioration in the corrosive environments. Thus, no or minimal formation of the corrosive scale on the top of the coatings was observed with neither structure transformation, nor reduction of the protective layer after 30-days testing in the molten materials' environments. Furthermore, no penetration of the corrosive media to the steel substrates occurred. Due to promising test results, the selected protective coatings may be highly recommended for further long-term and higher temperature testing in modeling and actual molten salts and molten sodium conditions associated with the service in nuclear reactors.