The invention relates to a heating device (1) comprising a metallic substrate (2) whose at least one part is coated with a self-cleaning coating. The inventive coating consists of an external layer (4) contacting ambient air and comprising at least one type of oxidation catalyst selected from platinoid oxides, at least one internal layer (3) which is arranged between the metallic substrate and the external layer and comprises at least one type of oxidation catalyst selected from transition elements oxides of 1b group. The inventive heating device can be embodied, for instance in the form of an iron soleplate consisting of a heating base (6) provided with heating elements (7) or a cooking appliance. Said metallic substrate can be covered with an intermediary enamel layer (5). A method for coating the metallic substrate of a heating device with said coating is also disclosed.