Self-lubricating composite coatings with an intermeshing structure on the Ta–12W alloy were fabricated using plasma electrolytic oxidation (PEO) and polytetrafluoroethylene (PTFE) impregnation sintering. Porous PEO ceramic coatings were formed in alkaline silicate–phosphate electrolytes using NaF and NaOH as the pore morphology adjustment agents. The tribological performances of the PEO ceramic and PEO–PTFE composite coatings were examined under 10–70-N loadings using a ball-disk wear tester. An optimized basic PEO ceramic coating with a thickness of 25 μm, a porosity of 23.8 %, and a hardness of 1410 HV is obtained in an electrolyte containing 5 g/L of NaF and 5 g/L of NaOH. A soft PTFE lubricating layer is fixed on the hard PEO ceramic coating, forming an intermeshing structure that can effectively reduce the coefficient of friction (COF) over time while enhancing the load capacity of the composite coating. In addition, the synergistic effect of the PEO ceramic coatings and self-lubricating material is proposed. The PTFE material stored in the pores will be constantly transferred to the contact interface to achieve a reduced COF. The PEO ceramic coating with a suitable porous structure acts as an “armor” because it can withstand a large load and provide physical support to the PTFE material during the friction process. Thus, the composite coating achieves a low COF with a low wear rate and a high load-bearing capacity.