The paper aims to improve the densification of oxidation film after micro-arc oxidation (MAO) on the surface of ZIRLO alloy. ZIRLO alloy was firstly oxidized through MAO to produce a zirconia ceramic layer on the surface and then it was shot peened to modify the densification of the oxidation film on the ZIRLO alloy surface. The surface roughness test was employed to characterize the plastic deformation of the samples’ surfaces under different shot peening processes. The morphology and the thickness of the oxidation film were analyzed through scanning electron microscopy (SEM). Finally, the densification effect of the shot peening after MAO was characterized by the porosity rate in the surface film. The results showed that relatively high intensity of shot peening and long peening time may lead to severe plastic deformation on the surface. Consequently, the oxidation layer on the surface fell off, which would have an adverse effect on the surface integrity of ZIRLO alloy. When the specimen was shot peened for 10 s under 0.2 MPa with AGB35 glass beads, good densification effect was achieved. Compared with those non-shot-peened specimens, specimens treated under the condition of 0.2 MPa and 10 s can help reduce the number and the size of pores in the film, improve the degree of bonding between the film and the matrix and reduce the porosity rate in the film from 16.45% to 7.27%, thus densifying the oxidation layer. However, when the pressure increased to 0.3 MPa or the peening time increased to 30 s, a large fraction of oxidation film fell off, gaps were generated between the substrate and the film and the porosity rate increased to 20.20%, which were detrimental to the surface integrity of the ZIRLO alloy. As a result, shot peening parameters after reasonable control of MAO can densify the oxidation on the ZIRLO alloy surface and make it more protective. While, excessive high shot peening strength and excessive long shot peening duration fails to achieve good densification effect.