The (Ti, Nb)(C, B)/IN625 composite coating with both homogeneous and defect-free microstructure were successfully prepared by in situ on the surface of 42CrMo steel using the coupling of the ultra-high-speed laser cladding (EHLA in German) technology with the direct reaction synthesis (DRS) technology, and were comparatively analyzed with the IN625 coating prepared by the EHLA. The microstructure of the fused cladding layer was investigated by selected scanning electron microscopy (SEM), energy dispersive spectrometer (EDS) and double spherical aberration transmission electron microscopy (DSA-TEM). The residual stress distribution on both sides of the fused cladding interface was characterised by nanoindentation stress test based on the modified O&P method and the G&S energy method. The results show that the interface of (Ti, Nb)(C, B)/IN625 composite coatings is affected by about 670 kJ Joule heat released from the in-situ reaction, and the interfacial width reaches 24 μm, so that it is 6 times higher than that of IN625 coating prepared by EHLA, which effectively reduces the stress gradient in the interfacial region and alleviates the stress mismatch on both sides of the interface. However, the surface hardness of (Ti, Nb)(C, B)/IN625 composite coating is lower than that of the IN625 coating, with a value of about 240 HV0.2, and the average wear weight loss was only 10% of that of the IN625 coating, which is on the one hand attributed to the in-situ authigenic TiCB, TiC, NbMo3B4, and NbMo2B2 phases supporting the (Ti, Nb)(C, B)/IN625 composite coating substrate to achieve the abrasion reduction and wear resistance. On the other hand, it is attributed to the formation of nano-equiaxial ultrafine grains in the depth range of 250 nm below the wear surface area by the coupling of the three fields of plastic rheology-heat-force, which dynamically strengthens the wear surface.