Selective laser melting (SLM) is an important advanced additive manufacturing technology. The existing SLM products cannot fully meet the requirements of high-precision and strength of the mechanical component because of their defects. The TiAlN/TiN multilayer coating can improve the surface property of SLM products. The present work aims to explore the influences of different process parameters of SLM on the property of TiAlN/TiN multilayer coating plating on the 361L specimen and the mechanism of these influences. Taking laser power, scanning speed, and scanning space as factors, an orthogonal experiment was designed. The TiAlN/TiN multilayer coating specimens can be obtained by plating on the 361L specimen, fabricated by the process parameters of SLM on the orthogonal experiment. The surface topographies and properties of TiAlN/TiN multilayer coating were tested, the influences of SLM process parameters on TiAlN/TiN multilayer coating were analyzed, and the optimal process parameter was obtained. The electron microscope images revealed that the surface morphology of TiAlN/TiN multilayer coating plating on the SLM specimen was relatively flat, and there were some macro-particles in different sizes and pin holes dispersed on it. The thickness of the TiAlN/TiN multilayer coating was 2.77–3.29 μm. The microhardness value of coating SLM specimen was more than four times that of the uncoated SLM specimen and the wear rates of the uncoated specimen were 2–4 times that of the corresponding coating specimen. The comprehensive analysis shows that the laser power had the greatest influence on the comprehensive property of the coating. The primary cause of the influence of SLM process parameters on the properties of the TiAlN/TiN multilayer coating was preliminarily discussed. When the laser power was 170 W, the scanning speed was 1,100 mm/s, and the scanning space was 0.08mm, the TiAlN/TiN multilayer coating plating on the SLM specimen had the best comprehensive property.