Abstract: Preparation of Al₂O₃ sol and ZrO₂ and CeO₂ ceramic powder based on sol-gel method were prepared. The ceramic powders were dispersed in Al₂O₃ sol to form the composite slurry, then ZrO₂/Al₂O₃ and ZrO₂-CeO₂/Al₂O₃ composite ceramic coatings were prepared on the surface of superalloy GH3039 substrate by XRD, SEM, EDS and DSC to study the influence of different ceramic powder on thermal shock resistance of composite sol-gel coating at 900℃. The results indicate that the pure Al₂O₃ coating without any ceramic powder has a large number of macro crack, bad surface integrity and easy peeling during the process of sintering; when the ZrO₂ ceramic powder is added into the Al₂O₃ sol, the structure of the ZrO₂/Al₂O₃ composite ceramic coating has no obvious macro crack and the adhesion between the coating and the substrate increases significantly; when CeO₂:ZrO₂=1:10 (molar ratio), CeO₂ can stabilize the phase transition under high temperature, which can prevent the transition from t-ZrO₂ to m-ZrO₂. The ceramic particles are dispersed homogeneously in the Al₂O₃ network film and present the structure of coated ZrO₂-CeO₂ particles covered with nano Al₂O₃ particles. This structure makes the thermal shock resistance and spalling resistance of Al₂O₃ composite ceramic coating more excellent than the ZrO₂/Al₂O₃ composite ceramic coating. ZrO₂-CeO₂/Al₂O₃ composite ceramic coatings can solve the thermal coefficient mismatch problem between matrix and Al₂O₃ coating so as to further improve the performance of matrix thermal shock and prolongs lifetime of the superalloy GH3039.