To improve the catalytic efficiency and decrease the reaction temperature of wet air oxidation technology, a Cu2O/Al2O3 coating was prepared on the surface of aluminium alloys by anodizing technology, and subsequent heating treatment. Then, the Cu2O/Al2O3 coating and 3 wt.% H2O2 was used to degrade methyl orange. The influence of the coating’s microstructure, crystalline component on the degradation rate of the methyl orange was studied. The microstructure of the coating was observed by scanning electron microscope. Results proved that the coating was composed of micropores, and Cu2O was evenly dispersed on the surface and pores in the Al2O3 coating. X-ray diffraction pattern analysis demonstrated Cu2O and Al2O3 characteristic peaks were found after the coating was treated at 300 °C, showing that amorphous Cu2O and Al2O3 were transformed into crystalline oxide. A UV-vis spectrophotometer was used to measure the absorbance of methyl orange, and it was found that the maximum absorption wavelength of methyl orange is 460 nm. At that wavelength, the suitable degradation condition of methyl orange was studied, and results showed that when electrochemical deposition time was 30 min and catalyst dosage was 8 g, the degradation rate of methyl orange could reach 92% at 25 °C for 120 min. Furthermore, when the catalyst was reused 9 times, the degradation rate still reached 75%. Based on the above results, a kinetic equation between the degradation rate of methyl orange and catalyst dosage was derived. The microstructure and crystalline component of the catalyst after different reuse times were characterized, and results showed that the catalytic efficiency of the Cu2O/Al2O3 coating decreased with a decrease in the coating’s specific surface area and the ratio of Cu2O in the coating.