Ni60 self-lubricated anti-wear composite coatings were successfully precipitated on the 35CrMoV substrate by laser cladding technology. The effects of heat treatment on the macro-morphology, microstructure, precipitated phase, microhardness, and wear properties of the composite coatings with different heat treatment temperatures (25 °C, 500 °C, 600 °C, and 700 °C for 1 h) were investigated systemically. The macro-morphology, microstructure, precipitated phases, and elements distribution of laser cladding layers were detected by optical microscopy (OM), scanning electron microscopy (SEM), X-ray diffraction (XRD), and energy dispersive spectroscopy (EDS), respectively. The mechanical and tribological properties of the cladding layers were tested using a microscopic Vickers hardness tester and friction and wear tester, respectively. The results show that the main phases of Ni60 coatings are composed of γ-(Ni, Fe), Cr7C3, Cr23C6, CrB, CrFeB, and Cr2Ni3. In particular, the micro-structure and mechanical properties reach the best levels after heat treatment at 600 °C. The micro-hardness, average friction coefficient, and wear volume of the cladding layer are 771.4 to 915.8 HV1 and 0.434 and 2.9546 × 10−5 mm3, respectively. In conclusion, the micro-structure and mechanical properties of the cladding layer are greatly improved by the proper heat treatment temperature.