Herein, a NiCrAl coating was prepared on the AZ91D magnesium alloy by cold spraying technology. The microstructure, wear resistance, and corrosion resistance of the cold sprayed NiCrAl coating were studied and compared with two NiCrAl coatings prepared by plasma spraying. The results showed that the porosity of the two-plasma sprayed NiCrAl coatings was 3.21% and 2.66%, respectively, while that of the cold sprayed NiCrAl coating was only 0.68%. The hardness of the cold sprayed NiCrAl coating (650 HV0.1) was higher than those of the two-plasma sprayed NiCrAl coatings (300 HV0.1, 400 HV0.1). In the abrasion resistance test, the cold sprayed NiCrAl coating showed a lower friction coefficient (0.346), less wear volume (3.026 mm3), and superior wear resistance accordingly compared with the two-plasma sprayed NiCrAl coatings. Moreover, the scanning electron microscopy (SEM) morphology at the bottom of the wear trace of the cold sprayed NiCrAl coating showed a compact mechanically mixed layers (MML) structure, and its wear mechanism was mainly abrasive wear, with some fatigue wear. In the electrochemical test, the corrosion current density of the cold sprayed NiCrAl coating (4.404 × 10−2 A·cm−2) was much lower than those of two plasma sprayed coatings (25.96 A·cm−2, 26.98 A·cm−2), indicating that the cold sprayed NiCrAl coating had superior corrosion resistance. Therefore, preparing a cold sprayed NiCrAl coating is a feasible method to comprehensively improve the wear resistance and corrosion resistance of the AZ91D magnesium alloy.