Functional gradient materials (FGM) have many excellent properties, and high-performance gradient coating exhibits good prospective application. In this paper, the nano-grain Ni/ZrO2 gradient coating was prepared by double pulse electrodeposition (BP). The surface morphology, crystal structure and electrochemical corrosion resistance of the nano-grain Ni/ZrO2 coating and Ni coating, annealed at different temperatures (400–800 °C), have been compared. In the vertical direction to the substrate surface, the content of ZrO2 increases from 0% to 34.99%. X-ray diffraction (XRD) revealed that the average crystal size of Ni/ZrO2 gradient coating gradually increases from 13.75 to 27.75 nm, and the crystal structure is a face-centered cubic (FCC). The main crystal orientation faces are (111) and (200), while the (200) face exhibited a stronger preferred orientation. Compared with the Ni coating by scanning electron microscopy, the surface morphology of double pulse fabricated Ni/ZrO2 gradient coating was revealed as being smoother, denser, and having fewer pores, and the crystal particle size distribution became narrow. X-ray photoelectron spectroscopy (XPS) shows that the chemical binding states of elements Ni and Zr have been altered. The binding energies of 2p3/2 and 2p1/2 for Ni have been increased, resulting in a higher electron donor state of Ni. The binding energy of 3d5/2 and 3d3/2 of Zr4+ in ZrO2 is decreased, thus becoming better electron acceptors. Chemical bonding has been formed at the Ni/ZrO2 interface. This study demonstrated that double pulse electrodeposition is a promising fabrication method for functional gradient coatings for high temperature applications.