In order to improve the thermophysical properties of the PEO coating, this paper took the mainstream piston material—high-silicon aluminum alloy (ZL109) as the matrix and added different concentrations of ZrO2 nanoparticles to the silicate electrolyte to prepare a series of ZrO2/Al2O3 composite PEO coating. The effects of ZrO2 nanoparticles on the growth, microscopic morphology, elemental composition and crystalline structure of the coatings were analyzed by eddy current thickness measurement, scanning electron microscopy (SEM), energy spectrometry (EDS) and X-ray diffractometer (XRD), and the thermophysical properties of each coating were investigated by differential scanning calorimeter (DSC) and laser thermal conductivity (LFA). The research results show that during the PEO discharge process, the addition of ZrO2 nanoparticles reduces the breakdown voltage on both sides of the ceramic membrane. When the ZrO2 concentration reaches 9 g/L, the breakdown voltage drops by 30 V; ZrO2 can inhibit the growth of α-Al2O3 crystals of the ceramic layer. At the same time, being affected by the discharge energy, the crystallinity of c-ZrO2 in the coating increases first and then decreases; when the ZrO2 concentration is 1.5 g/L, the microscopic morphology of the coating shows the "honeycomb" structure with large holes nested in small holes, and the coating has characteristics of significant low thermal conductivity (0.13 W/(K.m)); when the ZrO2 concentration is 3g/L, significant microcracks appear on the coating surface, open pores increase, thermal diffusion coefficient increased (0.7 mm2/s) and thermal conductivity was the highest (0.42 W/(K.m)). The introduction of ZrO2 can significantly change the microstructure and thermophysical properties of the coating. When the content of ZrO2 is controlled at a certain amount, the composite PEO coating has a microstructure with multiple closed micropores, which helps to reduce the thermal capacity, thermal conductivity and thermal diffusion coefficient of the coating.