In order to increase the service temperature of mild steel, the 9Cr-1Mo coating was prepared on Q235 base material using cold metal transition welding (CMT) technique. Significant residual stresses are formed in the fusion zone and heat-affected zone of the substrate after cladding due to thermal effects of welding. The residual stress distribution was measured by blind hole drilling method, and a finite element model was developed by SYSWELD software to simulate the temperature and stress field distribution of CMT cladding 9Cr-1Mo coating. The effect of martensitic phase transformation on the residual stress distribution was analyzed. The results showed that the coating was mainly martensitic, and the heat affected zone (HAZ) was mainly consisted of ferrite and pearlite. Multiple thermal cycles in multi-pass welding had a significant effect on the evolution of residual stress in the coating. Welding thermal cycles in the later passes can redistribute the stress generated during the fusion of the first passes and simultaneously change the direction and magnitude of the residual stress. Compressive residual stress formed in the cladding layer due to martensitic transformation, while the tensile stress mainly distributed on the HAZ and adjacent base metal. Among them, the maximum transverse residual tensile stress located in the HAZ adjacent to the fusion line, with a peak value of 300 MPa, and the compressive stress were concentrated on the fusion cladding layer near the fusion depth with a peak value of -200 MPa. The highest longitudinal residual tensile stress appeared in the heat affected zone between the weld passes, and the peak value reaches 550 MPa, and the peak of the compressive stress occurred at the bottom of the passes with a peak value of -400 MPa. The distribution of residual stress in the surface layer was caused by martensitic transformation and thermal cycling in the pass after welding. The simulation results agreed well with the experimental results.