Iron-based Prussian white (PW) is one of the promising cathodes for sodium-ion batteries, owing to its high capacity and low cost. However, the practical application of PW is hindered by its poor air stability. The metal-oxide coating has been proven to be an effective way to improve the air stability of electrode materials. Whereas, the target electrode materials conventionally need to be dissolved in the aqueous solution to obtain precursor composites and subsequently calcined at a high temperature during the metal-oxide coating process, which could destroy the phase structure of PW as a result of the sodium leaching into the water and thermal decomposition at the high temperature. In this work, we propose a facile method to construct a ZnO surface layer on PW by utilizing ethanol as a solvent and a mild post-treatment temperature. The ZnO coating layer effectively enhances the air stability of PW and induces the formation of the stable interface on PW. The PW-5 wt % ZnO-E (exposed in 60% humidity air after 30 days) cathode demonstrates a much higher capacity retention (94.1%) at 1 C after 200 cycles than that of PW-E (54%). This work lays a solid foundation for further application of PW.