Hot galvanization on steel surfaces can isolate the steel from corrosive environments and alleviate the stress corrosion cracking caused by the anodic dissolution mechanism. However, the cathodic protection potential of the coating is excessively negative, which may aggravate the hydrogen embrittlement problem. The effect of a coating on the stress corrosion performance of bridge cable wire was studied by means of X-ray diffraction (XRD), scanning electron microscopy (SEM), energy-dispersive spectrometry (EDS), a thermal desorption analysis (TDA), an electrochemical workstation, and an FIP test. The results show that hot-dip ZnAl and ZnAlMg alloy coatings can significantly prolong the stress corrosion fracture time of steel wire substrates. From a macroscopic perspective, the stress corrosion cracking fracture is a brittle fracture caused by hydrogen embrittlement. Moreover, the coating type has little effect on the fracture morphology of bridge cable wire. In NH4SCN solution (50 °C, 20 wt.%), a corrosion product layer composed of ZnS and Al2O3 was formed on the surface of the coated steel wire. The electrochemical analysis showed that the corrosion resistance of the ZnAlMg coating was better than that of the ZnAl coating, which was the main reason for the improvement of the stress corrosion performance.