Magnesium aluminum silicate gel was employed as a coating agent for gas-atomized spherical FeSiAl alloy magnetic powder in this work. The coated magnetic powders were pre-heated to explore the effects of preheating process parameters on the surface microstructure of FeSiAl magnetic powder and the performance of the prepared composite magnetic powder cores. The results showed that magnesium aluminum silicate could uniformly coat on the surface of FeSiAl magnetic powder particles. After preheating the coated magnetic powder, the interlayer hydroxyl groups (-OH) in the magnesium aluminum silicate coating were removed.The proportion of Fe0 and Fe2+ on the magnetic powder surface decreased, while elemental Al and Si were oxidized, accompanied by an increase in the content of Al3+ and Si4+. During preheating treatment, recrystallization occurred within the magnetic powder, resulting in an increase in grain size. The elimination of lattice distortion reduced the unit cell parameters, which significantly decreased the coercivity (Hc) of the magnetic powder. Meanwhile, the release of internal stress increased the saturation magnetization. In addition, slight agglomeration of magnetic powder particles appeared after preheating treatment, which reduced the density (ρ) and substantially lowered the effective permeability (μe) of the prepared composite magnetic powder cores. The eddy current loss (Pe) of the magnetic powder was almost unaffected before and after the preheating treatment of magnetic powder, while the hysteresis loss (Ph) was greatly reduced, resulting in a remarkable decrease in core loss (Pcv). When the magnesium aluminum silicate coating content was 1.0wt%, compared with the un-preheated coated magnetic powder, the μe of the composite magnetic powder decreased from 86.0 to 50.2. Under the conditions of 100 mT magnetic induction intensity and 50 kHz frequency, the Pcv decreased from 181.5 kW/m3 to 103.0 kW/m3. With the consistent preparation conditions of composite magnetic powder cores, the μe decreased with the increase of magnesium aluminum silicate coating content, whereas Pcv remained nearly unchanged across all samples.