The production and quality of automotive-grade galvanised steel are affected by the limited service life of the pot roll bearings used in continuous galvanising lines. The journal bearings are subjected to severe degradation as they react with the molten Zn bath, and coatings can provide corrosion protection to the bearing materials. This research investigates the performance of Al2O3 coatings applied via the HVOF thermal spray process to stainless steel 316L substrates. Immersion tests were conducted in baths of different compositions, namely GI (Zn-0.3 wt.% Al) and ZMA (Zn-1.5 wt.% Al-1.5 wt.% Mg). Material characterisation after testing showed evidence of coating degradation after 1 week, as the coating tended to crack and detach from the substrate, allowing the molten Zn to attack the underlying steel. The coefficient of thermal expansion of Al2O3 and steel was measured, and a difference of 13 × 10−6 K−1 was found, leading to the development of cracks in the coatings. Zn penetration through cracks was determined to be the main failure mechanism of the Al2O3 coatings, which otherwise remained inert to Zn-Al. Conversely, the coatings immersed in Zn-Al-Mg reacted with the Mg in the molten metal bath, showing that changing bath composition affected the performance of the coatings in molten Zn alloy.