Al₂O₃ coatings, which can be produced by plasma electrolytic oxidation (PEO) on aluminum substrates, provide an excellent protection against corrosion and wear. However, due to the brittle nature of the oxide ceramic, the fracture toughness is limited. One approach to enhance the tolerance to fracture is the incorporation of ZrO₂ to form zirconia toughened alumina (ZTA). In addition to its use as a bulk material, the application as a coating material enables a broader field of application. In this study, an Al₂O₃-ZrO₂ composite coating was applied on a 6082 aluminum alloy using an aluminate-phosphate-based electrolytic solution containing a Zr-based salt. Polarization measurement as an indicator of the passivability of a given system revealed that Zr-based salt improves the passivation of the aluminum alloy. The coatings’ characteristics were evaluated by SEM, EDS, and XRD. ZrO₂ incorporated into alumina as a metastable high-temperature modification led to a thicker coating with new morphologies including lamellar and dendritic structures. Nano-indentation showed that the incorporated Zr increase the average hardness of the compact layer from 16 GPa to 18 GPa. The fracture toughness of the coatings was investigated locally with nano-scratches applied on the compact outer layer of the coatings’ cross-sections. The Zr-containing electrolytic solution resulted in a coating with significantly higher fracture toughness (6.9 MPa∙m^1/2) in comparison with the Zr-free electrolytic solution (4.6 MPa∙m^1/2). Therefore, it is shown, that the PEO process stabilized a high-temperature allotrope of zirconia at room temperature without the need for rare-earth dopants such as Y₂O₃. Furthermore, it was demonstrated that the nano-scratch method is a suitable and accurate technique for the investigation of the fracture toughness of coatings with inherent cracks.