A novel solar selective absorbing MoSi2–Al2O3 multilayer coating deposited on Cu or stainless steel (SS) substrate by magnetron sputtering is reported. The coating consists of an infrared reflective metal layer using Mo or Cu, an absorption MoSi2–Al2O3 bilayer, and an anti-reflection Al2O3 layer from substrate to top. With the help of computer simulation, we obtain the optimal metal volume fraction and thickness of each layer on Cu substrate. And then a good optical performance (α/ϵ) of 0.94/0.06 for the all-layer coating on Cu substrate is obtained. On the other hand, the influence of the deposition parameters for the infrared reflective Mo layer on the emittance is discussed. The emittance decreases with the decrease of sputtering pressure and the increase of the target power. The lowest emittance of the SS (substrate)/Mo is 0.047 after optimization. The optical performance (α/ϵ) of the all-layer coating on the optimized SS/Mo substrate is 0.95/0.07. The thermal stability of the all-layer coating on SS substrate is evaluated, and it is found to have a good thermal stability at 400 °C, due to the choice of MoSi2, which means a good candidate of solar selective absorbing coating for parabolic trough concentrated solar power (CSP).