Given the characteristics of a thick steel/aluminum composite plate, such as its large thickness and the significant differences between its components, it is difficult to prepare using direct rolling. Instead, a thick steel/coating/aluminum composite plate may be successfully prepared by combining supersonic flame coating technology with a hot rolling composite process. In this study, the interface shear strength test, SEM, EDS, and other detection methods were applied to investigate the effects of the reduction rate and coating thickness on the interface structure and mechanical properties. The results show that under the condition of single-pass direct rolling, the micro-interface of steel/aluminum is improved with an increase in the reduction rate, but the bonding strength of the interface remains poor. After adding the coating, the thickness of the diffusion layer and the shear strength increase significantly. When the coating thickness is reduced to 0.1 mm, the deformation coordination and shear strength of the composite plate are further enhanced under the combined action of mechanical interlocking and metallurgical bonding. The tensile shear fracture is mainly located at the steel/coating interface. The interfacial shear strength reaches 66 MPa, which exceeds the requirements of the US military standard MIL-J-24445A (SH) for steel/aluminum shear strength. The research results thus support the use of this new method for the simple and efficient production of thick steel/aluminum composite plates.