The finishing accuracy and efficiency of magnetic abrasive finishing (MAF) are mainly depending on magnetic abrasive powders (MAPs). A new kind of core–shell structured carbonyl iron powders (CI-MAPs) with a hard Fe/Al intermetallic shell for magnetic abrasive finishing is successfully synthesized by insitu alloy-hardening the surface of spherical carbonyl iron powders in this study. The feasibility of such an in-situ alloy-ardening strategy is theoretically designed according to the Fe/Al intermetallic compound formation chemical reaction using the Gibbs free energy principle and the TG-DSC testing, and thus the experimental thermodynamics temperature and time ranges of such chemical reactions are proposed. Experimental results shown that a densely zigzag-like uniform alloy-hardening layer with a thickness of about 11 μm, which are composed of Fe3Al, FeAl, and Fe₂Al₅ intermetallic compounds, was in-situ chemically synthesized on the surface of the spherical carbonyl Fe powders. The achieved core–shell structured powder is performed to finishing a Zirconium tube experimentally, and the roughness (Ra of the Zirconium tube is greatly improved from 0.361 μm to 0.085 μm by 3 MAF passes.