In this research, nano-ZrO2/TiO2 composite coatings were designed for titanium alloys by the in-situ incorporation of ZrO2 nanoparticles into a TiO2 ceramic coating. Precise control over the content and structure of nano-ZrO2 in this nanocomposite coating was achieved by manipulating the pH of the electrolyte during plasma electrolytic oxidation (PEO). The synthesis process and mechanism of tetragonal zirconia (t-ZrO2) were revealed by analyzing the phase composition and microstructure of the coating. The influence of pH on the formation of t-ZrO2 was also revealed. By detecting changes in the electrolyte solute composition before and after PEO, the Zr(OH)4 precursor was determined to be the source of the t-ZrO2 nanoparticles in the composite coating. The yield of t-ZrO2 in the composite coating increased upon increasing the pH of the electrolyte. Moreover, the thermal shock tests showed that increasing the t-ZrO2 content remarkably improved the thermal resistance of the coatings. This strategy and the research outcomes are expected to have great significance for developing advanced nanocomposite coatings on titanium alloys with enhanced thermal shock resistance.