In this study, plasma electrolytic oxidation (PEO) was performed on Al and AlSi substrates using a pulsed direct current (DC) power source. The coating process was carried out in a Na2SiO3 electrolyte with the systematic change of pulse frequency (50–1400 Hz). The surface characteristics of the coatings were examined using scanning electron microscopy (SEM). The phase structure was characterized using X-ray diffraction (XRD). A differential scanning calorimeter (DSC) and a laser flash apparatus (LFA) were employed to test heat capacity and heat conductivity, respectively. Results showed that as the discharge frequency increased, the thermal physical properties of Al-PEO and AlSi-PEO coatings changed in different ways. At a high frequency, Al-PEO coatings had low porosity and were closed-pore structured whereas AlSi-PEO coatings had high porosity and large-size open-pore structures could be observed on their surfaces due to concentrated discharges. Based on these findings, it was found that the thermal productivity of coatings is closely correlated with the open-/closed-pore structure instead of porosity. PEO coatings with low heat capacity or low heat conductivity could be obtained with a controlled frequency.