Preparation of Al
2O
3 sol and ZrO
2 and CeO
2 ceramic powder based on sol-gel method were prepared. The ceramic powders were dispersed in Al
2O
3 sol to form the composite slurry, then ZrO
2/Al
2O
3 and ZrO
2-CeO
2/Al
2O
3 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 Al
2O
3 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 ZrO
2 ceramic powder is added into the Al
2O
3 sol, the structure of the ZrO
2/Al
2O
3 composite ceramic coating has no obvious macro crack and the adhesion between the coating and the substrate increases significantly; when CeO
2:ZrO
2=1:10 (molar ratio), CeO
2 can stabilize the phase transition under high temperature, which can prevent the transition from t-ZrO
2 to m-ZrO
2. The ceramic particles are dispersed homogeneously in the Al
2O
3 network film and present the structure of coated ZrO
2-CeO
2 particles covered with nano Al
2O
3 particles. This structure makes the thermal shock resistance and spalling resistance of Al
2O
3 composite ceramic coating more excellent than the ZrO
2/Al
2O
3 composite ceramic coating. ZrO
2-CeO
2/Al
2O
3 composite ceramic coatings can solve the thermal coefficient mismatch problem between matrix and Al
2O
3 coating so as to further improve the performance of matrix thermal shock and prolongs lifetime of the superalloy GH3039.