304 stainless steel coating was deposited on the Interstitial-Free steel substrate by cold gas dynamic spraying (CGDS). Three-point bending test of the cold sprayed 304 stainless steel coating was tested by SHIMADZU electro-hydraulic servo-controlled fatigue testing machine and the fracture morphology was examined by scanning electron microscopy. The results showed that the fracture behavior of the cold sprayed 304 stainless steel coating was brittleness fracture. The crack in the coating occurred in the interfaces between particles and the crack extended to the internal of the coating with the increase of the load. When the crack has extended to the combination interface between coating and substrate, the crack extended to the two sides. The microstructure and mechanical property of the cold sprayed 304 stainless steel coating have been optimized after heat treatment.