A serious issue in the preparation of Al2O3 coatings by cathode plasma electrolytic deposition (CPED) is that the coatings have a porous structure, which is detrimental to their protective performance. Therefore, to address this problem, SiC nanoparticles are incorporated into the Al2O3 coating in this study. A series of Al2O3–SiC composite coatings are efficaciously prepared on the surface of 316L stainless steel by CPED. The microstructures, compositions and phase components of the composite coatings are characterized; the electrochemical corrosion resistance and tribological behavior are evaluated; and the mechanism of SiC nanoparticles in the coating formation process is discussed in detail. The results indicate that the Al2O3 coating prepared by CPED consists of α-Al2O3 and γ-Al2O3, and the former is the main crystalline phase. With the incorporation of SiC nanoparticles in the coating, the content of α-Al2O3 gradually decreases, almost disappearing, accompanied by an increase in γ-Al2O3 as the main crystalline phase. The incorporation of SiC nanoparticles significantly reduces the surface irregularity and roughness of Al2O3 coatings and remarkably improves the corrosion resistance and wear resistance of the Al2O3 coatings. The improvement in corrosion resistance and anti-wear properties can be explained by the fact that the SiC nanoparticles effectively weaken electrical breakdown and increase the compactness of the coatings.