Coatings obtained by electro-spark deposition method using anode alloys based on NiAl and Ni3Al were shown to increase heat resistance of steel grades St30 (AISI 1030) (up to 10 times) and 20Kh13 (AISI 420) (up to 4 times) under the thermal cycling conditions. The structure of anode alloys and coatings after thermal cycling at a maximal temperature of 900 °C was studied. By analyzing the surface structure of the coated samples, it was established that oxides with high Fe content (> 36 at. %) were mainly formed along the edges of the samples, while the sample faces exhibited microcrack formation. Some of the microcrack surfaces were found to contain oxide coatings with higher Fe content (> 56 at. %). By analyzing the cross-sectional structure of the coated samples, it was shown that coatings are made up of the following two layers: the bottom layer, which is located at the cathode interface and exhibits high Fe content (~ 80 at. %), and the top layer. The composition of the top layer is close to that of the anode alloy, and after thermal cycling, it develops transverse microcracks. It was found that the bottom layer of the coating acts as a barrier, which prevents the microcrack propagation to the cathode surface. In those places where the bottom layer is discontinuous, microcracks from the top layer reach the surface of the cathode, which causes the formation of oxides with high Fe content on their surfaces.