In this study, Cr–Mo duplex-alloyed coating was prepared on carbon steel by double glow plasma surface alloying (DGPSA). The effect of annealing and quenching and tempering (Q&T) treatments on the microstructure and performance of the coating was investigated by X-ray diffraction (XRD), energy dispersive spectrometry (EDS), backscattering electron imaging (BSEI) and electron backscattering diffraction (EBSD) techniques. The results show that a gradient structured coating composed of an Fe–Cr–Mo solid solution (Fe–Cr–Mo SS) layer and an alloyed pearlite layer was obtained on the steel surface. The affected layer was adjacent to the coating. After annealing or Q&T, more carbides precipitated in the Fe–Cr–Mo SS layer and alloyed pearlite layer. Most of the C atoms in the subsurface were dragged into the coating to form carbides in the Fe–Cr–Mo SS and alloyed pearlite layers of the coating, transforming the affected layers into a carbon-poor zone. Annealing and Q&T hardly modified the thickness of the coating, but greatly changed the hardness and corrosion resistance of the coating. The Q&T treated samples had higher hardness and better corrosion resistance than the as-DGPSA treated and the annealed samples.