In order to clarify effect of the interfacial structure on performance of a cold-sprayed Cu-Al2O3 composite coating, an annealing heat treatment was carried out to provide different interfacial structures with the as-sprayed one. In this study, effect of the interfacial structure on thermal conduction, wear, and corrosion properties was explored. Results showed that extremely fine grains were formed at the deformed Cu particle edge through continuous dynamic recrystallization during cold spraying, and the subgrain structures exhibited high dislocation density, which increased the coating microhardness, thermal resistance, and local corrosion. After being annealed, the Cu-Cu splat interfaces were healed up by sintering and the subgrains were transformed into equiaxed grains by static recrystallization. The work hardening of the deformed Cu particles was also eliminated, which led to a decrease in microhardness and mechanical bonding of the Cu-Al2O3 particle interface, but it promoted formation of a continuous oxide lubrication film, resulting in better wear resistance. Thus, the strengthening Cu-Cu splat interfaces, the formation of Cu equiaxed grains, and the weakened Cu-Al2O3 interfaces caused the superior performance of the annealed composite coating.