Polymer coatings with comprehensive properties including passive radiative cooling, anti-fouling, and self-healing constitute a promising energy-saving strategy but have not been well documented yet. Herein, we reported a class of novel multifunctional supramolecular polysiloxane composite coatings showing the combination of these features. The coatings have a hybrid structure with a slippery liquid-infused porous surface and a gradient polymer-Al2O3 composite matrix constructed by reversible hydrogen bonding. The gradient matrix consists of a polymer-rich top and a particle-rich bottom favoring coating attachment on rigid substrates. Such a complex structure can be obtained by simply casting the suspending solutions of the polydimethylsiloxane (PDMS)-urea copolymer and Al2O3 on substrates followed by swelling silicone oil. Obtained coatings display good passive daytime radiative cooling (a temperature drop of ∼2 °C), self-healing ability, and anti-fouling properties. Since the comprehensive performances and the facile fabrication, the coatings should have application potential for various thermal management purposes.