The influence of heat treatment on the coating microstructure, nanomechanical, and corrosion fatigue properties of solid-state deposition of AA7075 aluminum alloy on AZ31B cast Mg alloy is studied in detail. Transmission electron microscopy (TEM) microstructural analysis shows columnar grain at the interface of AA7075/AZ31B. Electron backscatter diffraction (EBSD) observation discovered elongated grains with a high fraction of deformed grain boundaries as-deposited and heat-treated at 200 °C conditions. In contrast, the annealed samples show recrystallized grains with increasing temperatures from 200 °C to 400 °C. The residual stress of the coating at the surface and subsurface measured by X-ray diffraction shows −55 MPa and −122 MPa, respectively, which transferred to tensile with increasing the annealing temperature up to 400 °C. Annealing treatment of the AA7075 coating considerably improved the nanomechanical properties and corrosion fatigue resistance. With increasing the annealing temperature from 200 °C to 400 °C, the hardness of the coating decreased, while the modulus increased significantly. The analysis of fatigue fracture surfaces revealed that corrosive solution entered through the cracks and accelerated the crack propagation, lowering the fatigue life. However, the presence of recrystallized grains improved the corrosion fatigue resistance.