A shape memory composite (SMC) coating with a self-healing ability was prepared by a facile method based on a thermoresponsive shape memory polymer (SMP) that utilized carnauba wax microparticles as the healing agent. Damages to the SMC coating was healed via heating, which triggered a two-step healing mechanism consisting of defect closure through a shape memory effect at 65 °C and then defect sealing by molten wax at 90 °C. The surface morphologies of the scratched and healed coatings as well as a wax-free SMP coating were first studied by optical stereomicroscopy and scanning electron microscopy (SEM). To assess the recovery of the coating’s barrier properties, macroscopic and localized information was obtained by electrochemical impedance spectroscopy (EIS) and scanning electrochemical microscopy (SECM), respectively. The healing performance was also evaluated by comparing the macroscopic morphologies of the intact, damaged and healed coatings after long-term immersion. The results from both tests were in agreement and confirmed the key roles of carnauba wax microparticles in the complete recovery of the barrier properties of initially damaged coatings upon thermally assisted self-healing.