Shot peening was used synchronously to improve Fe-based amorphous coating performance by delivering ZrO₂ ceramic particles into a low-temperature region of a flame during the high velocity oxygen flame (HVOF) spray process. The coating became denser, and its hardness became higher via the new process. Moreover, the compressive residual stress was induced by shot peening. The results from the dry friction test indicated that the coating’s wear resistance was enhanced obviously. The wear mechanism of coatings with and without shot peening is an abrasive wear combined with an oxidation wear at wear test conditions of a low load and a low frequency. The coating with the best wear resistance did not have the strongest microhardness but had the highest compressive residual stress. The compressive residual stress had a significant positive influence on the wear resistance at a low frequency, while its effect is weakened at a high frequency.