The invention provides a method for infiltrating an aluminum molybdenum rare earth coating on the surface of steel, which mainly solves the problem of dust caused by powder embedding, realizes aluminum molybdenum rare earth co-infiltrating, and comprises the following steps of: (a) mixing a co-infiltrating agent, a binder and water to form slurry, coating on the surface of a workpiece, and drying; (b) putting the dried workpiece into an infiltrating box, sealing the inlet of the infiltrating box by using a box body filled with a sealing agent, and sealing by using an infiltrating box cover; and (c) putting the sealed infiltrating box into a furnace, heating, preserving heat, discharging and performing air cooling, wherein the co-infiltrating agent consists of 2.5 to 15 percent of MoO3, 17to 35 percent of Al, 54 to 66 percent of FeAl, 0.5 to 8 percent of rare earth oxide and 0.5 to 1.5 percent of NH4Cl; and the sealing agent consists of 17 to 35 percent of Al, 56 to 77 percent of FeAl, 2 to 8 percent of rare earth oxide and 0.6 to 2 percent of NH4Cl. The method can realize the aluminum molybdenum rare earth co-infiltrating, ensures that the coating has high corrosion resistance and heat stability, does not need the powder embedding and avoids dust pollution.