This work reports the preparation of oxide-based ceramic composite coatings as potential thermal barrier coatings (TBC) on ferrous alloys, targeting automotive applications. The coatings are shown to have excellent adhesion due to fabrication by plasma electrolytic aluminating (PEA), an anodic plasma electrolytic deposition process. The PEA process was conducted in an aluminate-containing aqueous electrolyte under a high voltage. The coating has superior adhesion (>60 MPa) and low thermal conductivity (~0.5 W/mK) measured by the adhesive tensile test and steady-state heat flow methods, respectively. Scanning electron microscope (SEM) observations reveal that the coatings have numerous mesopores. X-ray diffraction (XRD) analysis shows that the coating mainly consists of α-Al2O3 and hercynite (FeAl2O4) with (ultra-)fine grain size. Amorphous phases are also identified in the coatings. These mesopores, fine grain size and amorphous phases contributed to the low thermal conductivity of the coating. The hercynite phase indicated that the substrate was involved in the PEA reaction and thus the coating had a metallurgical bonding to the substrate. After cyclic thermal shock tests (quenching from 425 °C to 20 °C in water 100 times), the coating retained its porous structure without spallation. The results demonstrate that the ceramic composite coating may be a good candidate for thermal management of automotive engines.