High-voltage-etched Al foils with TiO2 coating were fabricated via vacuum infiltration. Specimens subjected to different number of coating cycles (n = 0, 1, 2, 4, and 8) were annealed at 550 °C, and subsequently anodized at different voltages (100, 300, and 500 V). The microstructures of the specimens were observed by field emission scanning electron microscopy and field emission transmission electron microscopy. The results showed that uniform TiO2 films (30 nm per coating cycle) were successfully formed on the high-voltage-etched Al foils. Its tunnels showed a dual-layer structure comprising an Al2O3 outer layer and an Al–Ti composite oxide inner layer after anodizing at 500 V. All the TiO2-coated specimens anodized at different voltages could withstand the corresponding voltage. The thicker is the Al–Ti composite oxide layer, the higher is the specific capacitance of the anode Al foils. Compared to the specimens without the TiO2 coating, the increasing ratios of the specific capacitances of the specimens coated 4 times reached the maximum values, which were 60.2%, 34.0%, and 30.2%, when anodized at 100 V, 300 V, and 500 V, respectively. These results suggest that the Al–Ti composite oxide layer is not only effective in enhancing the specific capacitance but also has a significant effect on the properties of the anode Al foils.