They move south every winter and usually arrive at the coast of Tainan around Oct.
1.Can I use on instead:
They move south every winter and usually arrive on the coast of Tainan around Oct.
2.Are there the same meaning between these two words?
I think 'on' would work there. Generally, we use 'on' for coasts, so it sounds fine. the reason for 'at' is the verb 'arrive'. We wouldn't say 'I have a house at the coast'.