Neural electrodes are essential for nerve signal recording, neurostimulation, neuroprosthetics and neuroregeneration, which are critical for the advancement of brain science and the establishment of the next-generation brain–electronic interface, central nerve system therapeutics and artificial intelligence. However, the existing neural electrodes suffer from drawbacks such as foreign body responses, low sensitivity and limited functionalities. In order to overcome the drawbacks, efforts have been made to create new constructions and configurations of neural electrodes from soft materials, but it is also more practical and economic to improve the functionalities of the existing neural electrodes via surface coatings. In this article, recently reported surface coatings for neural electrodes are carefully categorized and analyzed. The coatings are classified into different categories based on their chemical compositions, i.e., metals, metal oxides, carbons, conducting polymers and hydrogels. The characteristic microstructures, electrochemical properties and fabrication methods of the coatings are comprehensively presented, and their structure–property correlations are discussed. Special focus is given to the biocompatibilities of the coatings, including their foreign-body response, cell affinity, and long-term stability during implantation. This review article can provide useful and sophisticated insights into the functional design, material selection and structural configuration for the next-generation multifunctional coatings of neural electrodes.