An aluminum-iron (Al-Fe) alloy coated steel sheet for hot forming, having high resistance to hydrogen delayed fracture and coating layer separation and high weldability, the Al-Fe alloy coated steel sheet comprising a base steel sheet and an alloy coating layer formed between the base steel sheet and an oxide layer, wherein the base steel sheet comprises, by wt%, carbon: 0.1% to 0.5%, silicon (Si): 0.01% to 2%, manganese (Mn): 0.01% to 10%, phosphorus: 0.001% to 0.05%, sulfur: 0.0001% to 0.02%, aluminum (Al): 0.001% to 1.0%, nitrogen: 0.001% to 0.02%, and a balance of iron (Fe) and other impurities, wherein the alloy coating layer comprises: an Al-Fe alloy layer I formed on the base steel sheet and having a Vickers hardness of 200 Hv to 800 Hv; an Al-Fe alloy layer III formed on the Al-Fe alloy layer I and having a Vickers hardness of 700 Hv to 1200 Hv; and an Al-Fe alloy layer II formed in the Al-Fe alloy layer III continuously or discontinuously in a length direction of the steel sheet, and having a Vickers hardness of 400 Hv to 900 Hv, wherein an average oxygen content at a depth of 0.1 μm from a surface of the oxide layer is 20% or less by weight, wherein the Al-Fe alloy layer I has an Al content within a range of 5% to 30% by weight, the Al-Fe alloy layer II has an Al content within a range of 20% to 50% by weight, and the Al-Fe alloy layer III has an Al content within a range of 40% to 70% by weight, wherein the base steel sheet optionally further comprises, by wt%, at least one selected from the group consisting of chromium (Cr), molybdenum (Mo), and tungsten in an amount of 0.01% to 4.0%, wherein the base steel sheet optionally further comprises, by wt%, at least one selected from the group consisting of titanium (Ti), niobium (Nb), zirconium (Zr), and vanadium in an amount of 0.001% to 0.4%, wherein the base steel sheet optionally further comprises, by wt%, copper (Cu) + nickel (Ni) in an amount of 0.005% to 2.0%, wherein the base steel sheet optionally further comprises, by wt%, antimony (Sb) + tin (Sn) in an amount of 0.001% to 1.0%, wherein the base steel sheet optionally further comprises, by wt%, boron in an amount of 0.0001% to 0.01%. an Al-Fe alloy layer I formed on the base steel sheet and having a Vickers hardness of 200 Hv to 800 Hv; an Al-Fe alloy layer III formed on the Al-Fe alloy layer I and having a Vickers hardness of 700 Hv to 1200 Hv; and an Al-Fe alloy layer II formed in the Al-Fe alloy layer III continuously or discontinuously in a length direction of the steel sheet, and having a Vickers hardness of 400 Hv to 900 Hv, wherein an average oxygen content at a depth of 0.1 μm from a surface of the oxide layer is 20% or less by weight, wherein the Al-Fe alloy layer I has an Al content within a range of 5% to 30% by weight, the Al-Fe alloy layer II has an Al content within a range of 20% to 50% by weight, and the Al-Fe alloy layer III has an Al content within a range of 40% to 70% by weight, wherein the base steel sheet optionally further comprises, by wt%, at least one selected from the group consisting of chromium (Cr), molybdenum (Mo), and tungsten in an amount of 0.01% to 4.0%, wherein the base steel sheet optionally further comprises, by wt%, at least one selected from the group consisting of titanium (Ti), niobium (Nb), zirconium (Zr), and vanadium in an amount of 0.001% to 0.4%, wherein the base steel sheet optionally further comprises, by wt%, copper (Cu) + nickel (Ni) in an amount of 0.005% to 2.0%, wherein the base steel sheet optionally further comprises, by wt%, antimony (Sb) + tin (Sn) in an amount of 0.001% to 1.0%, wherein the base steel sheet optionally further comprises, by wt%, boron in an amount of 0.0001% to 0.01%.