Laser cladding Ni60/2.0 wt.%CeOsub.2 self-lubricating anti-wear composite coatings on 35CrMoV steel were thermally treated at 25 °C, 500 °C, 600 °C and 700 °C for 1 h, respectively. The macroscopic morphology of composite coatings was characterized by optical microscopy. The evolution of microstructure was studied by scanning electron microscopy. The precipitated phase of the coating was analyzed by X-ray diffractometer. The microhardness and wear properties of the composite coatings were measured by microhardness tester and friction and wear test. The effects of thermal treatment and no thermal treatment on the mechanical properties of the composite coatings were systematically studied by the above experiments. The experimental analysis shows that the main phase composition of Ni60/2.0 wt.%CeOsub.2 composite coating is γ-(Ni, Fe), Crsub.7Csub.3, Crsub.23Csub.6, CrB, CrFeB and Crsub.2Nisub.3. Meanwhile, in XRD, it can be seen that the diffraction peak has shifted to the left and the single diffraction peak is decomposed into double diffraction peaks with the thermal treatment at 700 °C, which indicates that the lattice in the coating phase has a certain distortion. Compared with the coatings without thermal treatment, Ni60 cladding layer has more uniform solute distribution and a denser and more uniform structure after thermal treatment at 700 °C. The laser cladding anti-wear composite coating demonstrates that the wear resistance performance shows the greatest improvement after thermal treatment at 700 °C.