FeAl intermetallic compound coating was prepared by cold spraying a mechanically alloyed Fe(Al) alloy powder followed by post-spray annealing at 950°C. The high-temperature abrasive wear test was carried out for the annealed cold-sprayed FeAl at a temperature range from room temperature to 800°C. The high temperature abrasive wear of a heat-resistant stainless steel 2520 was performed for comparison. The results showed that the annealing treatment of the as-sprayed Fe(Al) alloy coating at a temperature of 950°C results in the formation of dense FeAl intermetallic compound coating with no particle boundaries. It was found that with the increase of the test temperature the wear rate of the stainless steel increased at the temperature higher than 400°C, while the wear rate of cold sprayed FeAl coating tended to decrease at the temperature higher than 400°C. The high temperature abrasive wear resistance of the cold-sprayed FeAl intermetallic compound coating increased with the increase of the abrasive wear temperature in a temperature range from 400°C to 600°C and changed little in the temperature range from 600°C up to 800°C. The wear resistance of cold-sprayed FeAl coating was higher than that of heat-resistant 2520 stainless steel under 800°C by a factor of 3.