For arc welding of high-strength and cold-resistant steels, the author developed an advanced design of steel wire with a micro-composite coating of a nickel matrix and nanoparticles of LaF3 and LaB6, which improves the metallurgical influence of rare-earth elements (REE) and forms refractory sulphides and oxides of REE, as well as boron nitride. The addition of 0.1–0.3 wt% La in the weld pool leads to an increase in the content of the refractory compounds La2O3, LaO2, and LaS, and to the reduction in the content of the low-melting and brittle oxides and sulphides SiO2, SiO, MnO, MnS, and SiS. The use of steel wire with the composite coating of LaF3 and LaB6 allows for microstructural refinement when welding S960QL bainitic-martensitic steel and X70 API bainitic steel, and increases the impact toughness of the welds by 1.17–1.6 times.