In this work, two oxide-reinforced FeCrAl matrix composite coatings, FeCrAl-Al2O3 and FeCrAl-Y2O3, were fabricated on a ferritic-martensitic steel by laser cladding with their microstructures probed by means of multiple characterization methods. Their cross-sections are found to consist of three zones with distinct microstructure features, i.e. cladding zone (CZ), heat-affected zone (HAZ) and substrate. Their CZs are mainly composed of columnar ferrite (the average grain sizes 7.1 ± 3.9 µm and 6.5 ± 3.8 µm for the FeCrAl-Al2O3 and the FeCrAl-Y2O3 coatings, respectively), with plenty of O-rich particles dispersed inside the ferrite. For the HAZs, they are essentially comprised of markedly refined martensitic laths. The average surface hardnesses of the FeCrAl-Al2O3 and the FeCrAl-Y2O3 coatings are 357.1 ± 8.7 HV and 348.4 ± 26.1 HV, respectively, notably higher than the substrate (264.7 ± 2.7 HV). Such effective hardening is attributed to the combined effect of solid-solution and dispersion strengthening. The wear rates of the FeCrAl-Al2O3 and the FeCrAl-Y2O3 coatings are 37% and 73% lower than the substrate, respectively, demonstrating considerably enhanced wear resistance. After characterizing the worn surfaces, abrasive wear and oxidative wear are confirmed to occur on all the specimens during the wear test. The enhanced wear resistance of both the composite coatings should mainly be related to the high hardnesses produced by their specific microstructural features, and the easier formation of surface oxide films during the wear.