Previous results clearly confirmed that the presence of an Al plating layer promotes the development of a dense Al2O3 barrier layer when exposed to high temperatures. This enhances the structural stability and improves the oxidation resistance of the dual ceramic coating. In the work, a continuous study was conducted to investigate the effect of varying Al plating layer thickness on the high-temperature oxidation characteristics of a CoCrNiAlY–YSZ–LMA dual ceramic coating. The results indicate that, compared to samples lacking Al layers, all Al-coated samples exhibit dense surface morphology, effectively inhibiting the permeation of O2. This results in slower growth of the TGO and minimal elemental diffusion. However, significant differences are observed in structural damage. Al layers of 5 μm and 10 μm thickness show slight local fracture damage and good structural stability. In contrast, the 15 μm Al-coated samples experience more severe structural fracture damage within the YSZ layer, including transverse cracking. These potential oxidation and structural damage mechanisms of the coatings with varying Al plating layer thickness were systematically discussed.