The work aims to improve the resistance to dynamic water corrosion of zirconium alloy in high temperature and high pressure environment. Oxide-coated Al2O3 and composite coating Cr/TiAlN were prepared on the surface of Zr-4 alloy by multi-arc ion plating (MAIP). Nitride coating TiN was prepared on the surface of Zr-4 alloy by magnetron sputtering (MS). The high temperature and high pressure hydrodynamic corrosion performance of three different coatings were compared by autoclave experiments. The adhesion of the film base was detected by automatic scratch tester. The phase composition of the coating was analyzed by XRD. The microstructure of the coating before and after corrosion was observed by SEM. The type and content of the coating elements were analyzed by EDS. The Al2O3 coating and Cr/TiAlN coating prepared by multi-arc ion plating technology had higher density, but there were some small amount of large particles and micropores on the surface. The TiN coating prepared by magnetron sputtering technology was even and flat, and the surface had small particles. The critical loads that the Al2O3 coating, TiN coating, and Cr/TiAlN coating could withstand are 26 N, 16 N, and 26.5 N, respectively. Under the experimental conditions, the surface of Cr/TiAlN coating and TiN coating peeled off or corroded, and a large amount of ZrO2 was detected on both surfaces. Al2O3 coating was almost unbroken and the substrate was fully protected. The adhesion of oxide coating Al2O3 and composite coating Cr/TiAlN film prepared on the surface of Zr-4 alloy by multi-arc ion plating technology is high, while nitride coating TiN film base prepared by magnetron sputtering technology has poor bonding properties, and the Al2O3 coating has good corrosion resistance and can effectively protect the zirconium alloy matrix in the high temperature and high pressure hydrodynamic corrosion environment.