Known as having a stress self-accommodation characteristic, the laser cladding shape memory alloy (SMA) coatings have been widely used in material failure repair. Nevertheless, their further development is greatly limited by their low microhardness (250 HV0.2) and corrosion resistance. Benefiting from the capability of refined grain and adjusted microstructure, rare earth oxides play a key role in improving the properties of materials. Herein, to improve the microhardness and anti-corrosion of laser cladding SMA coatings, different amounts of La2O3 were doped in SMA coating. The influence of the different La2O3 doping amounts on the phases, grain size and microhardness was studied. The anti-corrosion of the SMA/La2O3 composite coating was explored in 3.5 wt.% sodium chloride solution. Results showed that the grain of the SMA/La2O3 composite coating is significantly refined. When doping with 0.9 wt.%, the refinement rate reaches 19%. Furthermore, based on the Hall–Petch effect, the microhardness of the SMA/La2O3 composite coating is increased to 450 HV0.2. At the same time, the anti-corrosion of the composite coating is enhanced due to the smaller grain size and fewer defects.