In this investigation, Al‐Mg alloy coating samples were deposited by the electric arc spray technique on SS400 steel substrate at various spraying parameters, namely, the spray current (150, 200 and 300 A), the air pressure (4, 4.5 and 5.5 bar) and the stand‐off distance (100, 162.8 and 200 mm). The structure morphology, phase composition, porosity, microhardness, adhesion and wear resistance of the coating were studied. The obtained results showed that the coating at the spray current of 300 A, the air pressure of 5.5 bar and the stand‐off distance of 162.8 mm has the lowest porosity and highest microhardness. In addition, this coating also has better adhesion to the steel substrate and wear resistance than other coatings. Moreover, X–ray phase analysis showed that the following phases are created on the surface of the Al‐Mg coatings: Al, Al2MgO4 and Al3Mg2.