FeCrAl coating with thickness of 18 μm was deposited on Zr-4 alloy substrate by magnetron sputtering in order to improve the high-temperature oxidation resistance of Zr alloys. The oxidation resistance of FeCrAl coating with low Al content was investigated by air oxidation tests. Field emission scanning electron microscope, energy dispersive spectrometer, and grazing incidence X-ray diffraction were used to evaluate the relationship between interfacial evolution and element migration. Results show that although the FeCrAl coating is layered and gradually peels off after air oxidation at 1000 °C, the coating still effectively protects the Zr-4 substrate from oxidation. The performance degradation of FeCrAl coatings is mainly caused by the severe outward diffusion of Al element and the inward diffusion of Fe and Cr elements at high temperatures, which results in the layering and peeling inside the coating. The air oxidation behavior of FeCrAl coating at 800, 900, and 1000 °C was also discussed.