A process for producing a component from a steel product coated with a protective Al—Si coating, and an intermediate product that arises during the course of such a process and that can be used to produce components of the type concerned here. The steel product coated with the Al—Si coating, undergoes a first heating stage in which the temperature and the duration of the heat treatment are set such that the Al—Si coating is only partially pre-alloyed with Fe from the steel product. Then, the steel product, in a second heating stage, is heated to a heating temperature, above the Ac1 temperature, at which the steel product has an at least partially austenitic structure, wherein the temperature and the duration of the second heating stage are set such that the Al—Si coating is fully alloyed with Fe from the steel product. After the steel product is heated to the heating temperature, it is shaped to form the component and the component obtained is cooled in a controlled manner, in order to obtain a martensitic structure.