Al-Si coated press-hardened steel (PHS) is widely used along with the development of light-weight vehicles, and the tailor-rolled blank parts based on Al-Si coated PHS have attracted much attention. The preparation process includes cold rolling, austenitization, hot-stamping, and quenching. The most widely used AS60/60 coating will change after cold rolling and austenitization, which has been little-studied. Herein, the effects of cold rolling reduction on the microstructure, thickness, adhesive force of AS60/60 coating and on bending toughness of AS60/60 coated PHS were studied. As the cold rolling reduction ratio increased from 0% to 50%, the coatings were gradually thinned, but the overall continuity was unchanged. When the reduction ratio was 40% or above, rapid diffusion channels were formed. The adhesive force of coatings was 21.50–22.15 MPa. After austenitization, the coating thickness gradually decreased as the cold rolling reduction ratio rose from 0% to 50%, but the structure and overall continuity were both unchanged, and the adhesive force was 21.60–22.40 MPa. The rapid diffusion channels promoted the transition from brittle Fe2Al5 to tough FeAl during austenitization, leading to a rapid increment in bending toughness after Al-Si coated PHS was quenched. When the reduction ratio was 50%, the bending angle was improved by 23%.