The oxidation of the metal powder during the thermal spraying process usually leads to significant deterioration of the microstructure and performance of the coating. In order to isolate the metal powder from oxygen during the spraying process, the CoNiCrAlY-Al2O3 core-shell structured powder with Al2O3 as the shell was designed in this study. The influence of the core-shell structured powder on the microstructure and corrosion resistance of the HVOF coating has been studied in detail. The results show that the temperature field of the molten CoNiCrAlY powder during the spraying process is significantly changed by the Al2O3 shell. The poor deformability of the CoNiCrAlY-Al2O3 droplets leads to an increase in the porosity and unmelted particles of the coating. In addition, the significant difference is that the coating also maintains a high content of β-NiAl phase. The lower oxide content in the CoNiCrAlY-Al2O3 coating indicates that the core-shell structured powder significantly inhibits the oxidation of the CoNiCrAlY core powder during the spraying process. The CoNiCrAlY-Al2O3 coating exhibits high corrosion potential, passive film resistance, charge transfer resistance, and low corrosion current density in 3.5 wt.% NaCl solution, indicating that the coating has excellent corrosion resistance.