Micro-laminated ZrO2-Al2O3 coatings were prepared by electrochemical depositing ZrO2 film and Al2O3 film alternatively in ethanol solutions containing aluminum nitrate and zirconium nitrate, with small amounts of yttrium nitrate added respectively into both solutions. The micro-laminated ZrO2-Al2O3 coating is of nanostructure. FE-SEM analyses show that the cross section of the micro-laminated coatings has alternate six-layer films of ZrO2 and Al2O3, with the thickness of each layer in the range of nanometer or submicron. The surface of the micro-laminated coatings is composed of nano-particles. SEM, XRD and mass gain measurement were adopted to study the oxidation resistance of coatings on stainless steel. It has been found that all the coatings are effective in protecting the substrate from oxidation, and micro-laminated coatings exhibit more excellent protectiveness performance. Mechanisms accounting for such effects have been discussed.