The effects of ZrO2 nanoparticles in a NaAlO2 electrolyte on the thickness, morphology, composition, structure, and high temperature oxidation resistance of plasma electrolytic oxidation (PEO) coatings on a TC21 titanium alloy were investigated. The coating thickness increased with increasing concentration of ZrO2 nanoparticles in the electrolyte, accompanied by a decrease in the porosity of the coating surface. The PEO coatings formed in the ZrO2 nanoparticle-free electrolyte were composed of Al2TiO5. ZrTiO4, m-ZrO2, and t-ZrO2 were detected in the PEO coatings produced by the electrolyte that contained ZrO2 nanoparticles, which indicated that the deposition mechanism of the nanoparticles was partly reactive incorporation. The high temperature oxidation resistance of the TC21 titanium alloy at 650 °C and 750 °C was improved by 3–5 times after PEO treatment. The oxidation mechanism involved oxygen diffusing inward to form an oxide layer at the interface of the PEO coating and substrate.