Cold spray allows for fabricating metal matrix composites or repairing damaged components in a scalable way with a high deposition rate. Nevertheless, the poorly bonded interfaces (both metallic splats/splats and metallic splats/reinforcements) and pores in the composite deposit result in undesirable mechanical performance, which limits its applications for load-bearing components. In this study, a special designed composite powder reinforced with in-situ TiB2 particles was used as the feedstock to produce TiB2/AlSi10Mg composite components by cold spray additive manufacturing. Following this, the effect of post-annealing treatment on interfaces and micro-pores healing, microstructure evolution, and mechanical properties of the cold sprayed TiB2/AlSi10Mg composites was investigated in terms of X-ray diffraction, electron backscatter diffraction, transmission electron microscopy, and tensile test. The cold sprayed composite exhibited a bimodal structure with ultrafine grains formed at the inter-splat boundaries due to dynamic recrystallization induced by intensive plastic deformation of the particles. In addition to the uniformly dispersed TiB2 nanoparticles, some aggregated clusters remained embedded in the Al matrix. Tensile tests revealed that the as-sprayed deposits possessed very high tensile strength but almost no toughness due to the poorly bonded inter-splats and enhanced work hardening effect. Significant improvement in ductility was achieved in the annealed samples through improvement of metallurgical bonding between the deformed splats, release of residual stress, and static recrystallization. Interestingly, when the annealing temperature was increased up to 500 °C, both the pure AlSi10Mg and TiB2/AlSi10Mg composite samples fractured at a very early stage due to the presence of large pores (>20 µm) which may originate from the moisture of initial powders. The in-situ formed TiB2 nanoparticles play an important role in strengthening the Al matrix, meanwhile, maintaining a good ductility due to the robust interface bonding. This study demonstrates the potential of using a gas-atomized composite powder to produce high-performance metal matrix composites by cold spray additive manufacturing followed by annealing treatment.