Currently, soft magnetic composites (SMCs) have attracted increasing attention due to their outstanding magnetic properties, and various methods have been developed and applied for their fabrication. As an emerging additive manufacturing technique, cold spraying (CS) can fabricate bulk material via solid-state deposition by avoiding oxidation and phase change. In this work, SMCs coating was first fabricated by Ni-coated FeSiAl composite powder via CS. Two groups of Ni-coated FeSiAl composite particles (40 μm and 57 μm) were used as feedstocks for deposition under different processing parameters. No phase transformation can be detected from XRD analysis. The coating thickness increased with the increasing of propelling gas temperature and pressure. Higher deformation of FeSiAl particles and higher micro-hardness of the composites fabricated from the powders with larger size were obtained due to the enhanced in-situ peening effect of the rebounded particles during deposition. The magnetic property of cold sprayed SMCs showed a soft ferromagnetic characteristic with a coercivity of about 60 Oe. The investigation on the coating formation mechanism was carried out by single particle deposition, and the results showed that the Ni bonding layer with sufficient plastic deformation plays a significant role during the deposition of the composite coating.