We have examined the dielectric properties of Zr–Al anodized thin film capacitors prepared using Al-doped Zr alloy films to improve the thermal stability and capacitance density of pure-Zr anodized thin film capacitors. The Al content of the Zr–Al anodized film was varied from 0 to 24 at. %. It was revealed that the capacitance densities of the Zr–Al anodized capacitors increase with increasing Al content to 17 at. %, because the tetragonal ZrO2 phase grows and the monoclinic ZrO2 phase disappears, although pure-Zr anodized films consist of a mixture of monoclinic and tetragonal ZrO2 phases. In addition, it was confirmed that the thermal stability of the Zr–Al(17 at. %) anodized film is superior to that of the pure-Zr anodized film. We infer that this is due to the formation of the tetragonal ZrO2 phase by Al doping.