The preparation of hard coatings on steel/iron surface can significantly overcome the bottleneck of low service life under friction conditions due to the low surface hardness and poor wear resistance. However, the increase in strength, hardness, and wear resistance is usually accompanied by a significant drop in toughness, that is, the relationship between strength and toughness shows an “inverse relationship”. In view of the “inverse relationship” between strength and toughness, the design and development of coatings with high strength, high toughness, and high wear resistance are of great significance for expanding the application range of steel/iron materials. In this paper, the current research progress of several high strength and toughness coatings on steel/iron surface, such as laminar structured coatings, multi-scale structured coatings, gradient structured coatings and nanostructured coatings, are reviewed from the perspective of preparation process, microstructure, mechanical properties as well as strengthening and toughening mechanism. On this basis, it is pointed out that in the future, high strength and toughness coatings on steel/iron surface should develop in the direction of developing new surface modification technologies, designing and accurately regulating multi-scale architecture, and constructing numerical models of microstructure-mechanical properties. Furthermore, the authors propose the controllable preparation technology prototype for the multi-scale structure coatings on the steel/iron surface, that is, through the coordination of new surface modification technology, theoretical calculations, and simulations, to achieve further optimized design and precise control of the multi-scale structural coating on the steel/iron surface. Establishing the functional relationship between microstructure and mechanical properties, and accurately revealing its strengthening and toughening mechanism, provides a new idea for breaking through the bottleneck of the “inverse relationship” between strength and toughness, thus realizing the preparation of steel/iron-based surface composites with excellent comprehensive properties.