In situ formation of Al2O3–ZrO2–Y2O3 composite ceramic coating on ZAlSi12Cu3Ni2 aluminum alloy was successfully prepared by plasma electrolytic oxidation (PEO) technology in a zirconate electrolytic solution. The morphologies, phase components, the thermal diffusion coefficient and thermal conductivity of the composite coatings were investigated by scanning electron microscope, energy dispersive spectroscopy, X-ray diffraction and laser pulse tester. The results indicate that the composite coatings are relatively dense and uniform in thickness, and predominantly composed of Al2O3, c-Y0.15Zr0·85O1·93Vo0·07(Vo-oxygen vacancies), monoclinic ZrO2 (m-ZrO2) and littleY2O3. The composite coatings exhibit a gradient distribution in phase component from the surface to the inner part. With the increase of the applied voltage, the micropores, the discharges products, thickness and the ZrO2 content of the composite coatings increase. With the oxidation time increasing, the surface of coating generates oxide ceramic particles around the holes and accumulates repeatedly. The content of zirconium is the higher on the surface and interface. The content of Al is less and it shows that the ceramic coating contains mainly the zirconium oxide. This is attributed to the presence of micropores and microcracks, plus the extremely fine grain size and the presence of an amorphous phase. When considered in conjunction with the possible thickness range, it’s clear that this PEO coatings offer considerable promise as thermal barriers.