Thermal diffusion experiments were conducted at 900 °C on Al–Si coated 22MnB5 steel to investigate phase composition and transformation. Results revealed that several compound phases, including Fe2Al7Si, FeAl3, (Al, Si)5Fe3 and Fe2Al5, observed beneath the eutectic structure in the Al–Si coating. At 900 °C, the eutectic structure is almost completely diffused over time. During thermal diffusion experiments, Fe element diffused into the coating, while Al and Si elements diffused within the coating and into the steel matrix. Electron backscatter diffraction analysis identified the phases of the Al–Si coating at different diffusion times at 900 °C, revealing a three-stage phase transition process, including diffusion of the Al–Si eutectic structure, formation of the Fe–Al (Si) phase, formation of the FeAl2 phase.