In the present work, Fe/Cu composite coatings were fabricated by electro-explosive spraying technology (EEST), with good lubrication performance and high wear resistance. The microstructure and morphology were characterized by an energy-dispersive spectrometer (EDS), 3D digital microscope, and scanning electron microscope (SEM) coupled with electron backscattered diffraction (EBSD). Mechanical properties and tribological performance were measured using a micro Vickers hardness tester, universal testing machine, and universal friction and wear testing machine. The composite coating had low porosity with a minimum value of 0.7%, high microhardness with a maximum value of 729.9 HV0.2, high bonding strength with a maximum average value of 55.25 MPa, and good wear resistance and self-lubrication, and the ratio of soft metal and hard metal in the coatings was controllable. Under dry friction conditions, the friction reduction mechanism was that there were both metallic oxide particles and soft metal attached in the friction pairs. When the ratio of soft metal in the composite coating was higher, the self-lubricating performance of the coating was better, with adhesive wear as the main wear mechanism; when the ratio of hard metal was higher, the wear resistance was better and the wear mechanism was mainly abrasive wear.