The micro-arc oxidation (MAO) coating with different nanoparticles (Al2O3, MoS2, CeO2, and graphene oxide (GO)) was prepared on zirconium (Zr) alloy. The surface morphology, cross- morphology, element composition, and phase structure of different composite MAO coating were investigated. Results show the composite MAO coating consists of ZrO2 and nanoparticle, along with all the coating present a typical porous structure. The composite MAO coating is comprised of an outer porous layer and inner dense layer, and most of the nanoparticle is gathered to the outer layer. The electrochemical results demonstrate that composite MAO coating presents better corrosion protection to Zr alloy, and the MAO coating with Al2O3 shows the best corrosion resistance. Because the Al2O3 nanoparticle can stabilize the t-ZrO2 during MAO process and has a denser inner layer. Meanwhile, the nanoparticles in the coating can play the part of a barrier to the diffusion pathway of corrosion medium and restrain aggressive corrosion medium entering the Zr alloy. The fretting corrosion test shows that the MAO coating with GO has the lowest wear volume, and it has the highest material loss volume ratio of corrosion induced by wear. Because GO in MAO coating can reduce the friction by small shear force between the layers.