Firstly, an aluminum coating was produced metallurgically on mild steel by hot-dipping, then an aluminum oxide coating was formed self-growingly from the aluminum coating by micro-arc oxidation treatment. The structures of the composite coatings were investigated by means of SEM, TEM and XRD. The results show that the composite coating consists of three layers which are Fe-Al alloy, aluminum coating and aluminum oxide orderly outward from the steel substrate. There are amorphous phases, k-Al2O3 and θ-Al2O3 mainly in the aluminum oxide.