The fabrication of an alumina-metal composite coating onto a carbon steel substrate by using a self-propagating high-temperature synthesis technique was demonstrated. The effects of the type and thickness of the pre-coated layer on the binding structure and surface quality of the coating were systematically investigated. The macrostructure, phase composition, and bonding interface between the coating and the substrate were investigated by scanning electronic microscopy (SEM), X-ray diffraction (XRD), and energy-dispersive X-ray spectrometry (EDS). The diffraction patterns indicated that the coating essentially consisted of α-Al₂O₃, Fe(Cr), and FeO·Al₂O₃. With an increase in the thickness of the pre-coated working layer, the coating became more smooth and compact. The transition layer played an important role in enhancing the binding between the coating and the substrate. When the pre-coated working layer was 10 mm and the pre-coated transition layer was 1 mm, a compact structure and metallurgical bonding with the substrate were obtained. Thermal shock test results indicated that the ceramic coating exhibited good thermal shock resistance when the sample was rapidly quenched from 800°C to room temperature by plunging into water.