Anti-icing coating materials can effectively reduce the impact of natural icing. The low surface energy or high lubricity enables anti-icing materials to weaken the adhesion strength of ice on the surface of objects under severe cold weather conditions, delay the icing time and reduce the surface icing amount, so anti-icing materials have important practical value in protecting power materials from freezing disaster. Composite surface anti-icing coating materials prepared by the thermal spraying method and active-passive anti-icing methods are the important research focuses of anti-icing application for power materials in the future. However, up to now, the research progress overview of both preparation methods of thermal sprayed composite surface anti-icing coating materials and the protection applications for power materials was seldom reported. In this paper, from the point of view of the combination of superhydrophobic materials and photothermal/electrothermal deicing method, and the composite coatings of superhydrophobic and superlubricating materials for anti-icing and deicing, domestic and international research progress about the preparation and performance of composite anti-icing coatings in recent years was reviewed, and the anti-icing and deicing effects of the composite coatings suitable for thermal spraying were also discussed. Finally, the research progress of superhydrophobic anti-icing coating and composite anti-icing coating on the surface of power materials was discussed, and the application prospects and limitations of thermal sprayed anti-icing coatings were also prospected. It is hoped that further research on composite anti-icing methods can provide guidance for the future development of surface anti-icing coating of power materials.