The influence of post-process heat treatment on cold-sprayed Zn coatings on the Mg alloy substrate was investigated at different temperatures (150, 250, and 350 °C) and times (2, 8, and 16 h). Phase, microstructure, microhardness, and tensile strength of Zn coatings were analyzed before and after heat treatment. Corrosion properties of Zn coatings after heat treatment were investigated in simulated body fluid by using potentiodynamic polarization and immersion testing. Results show that although the heat treatment presented little effect on phase compositions of Zn coatings, the full width at half maxima of the Zn phase decreased with the heat temperature and time. Zn coatings presented comparable microstructures before and after heat treatment in addition to the inter-diffusion layers, and the inter-diffusion layer was dependent on the heat temperature and time. Both the thickness and the microhardness of inter-diffusion layers were increased with the heat temperature and time, with the largest thickness of 704.1 ± 32.4 μm and the largest microhardness of 323.7 ± 104.1 HV0.025 at 350 °C for 2 h. The microhardness of Zn coating was significantly decreased from 70.8 ± 5.6 HV0.025 to 43.9 ± 12.5 HV0.025, with the heat temperature from the ambient temperature to 350 °C, and was slightly decreased with the heat time at 250 °C. Although the tensile strength of Zn coating was slightly increased by heat treatment, with the highest value of 40.9 ± 3.9 MPa at 150 °C for 2 h, excessive heat temperature and time were detrimental to the tensile strength, with the lowest value of 6.6 ± 1.6 MPa at 350 °C for 2 h. The heat temperature and heat time presented limited effects on the corrosion current and corrosion ratio of the Zn coatings, and Zn coatings before and after heat treatment effectively hindered the simulated body fluid from penetrating into the substrate. The corrosion behavior of Zn coatings was discussed in terms of corrosion products and microstructures after immersion.