The review focuses on the surface modification of Zr and its alloys, which is necessary to expand the applications of these kinds of materials. Data on the properties of pure zirconium and its alloys are presented. Since surface engineering and the operation of the above materials are in most cases associated with the formation of oxide coatings, information on the characteristics of ZrO2 is given. In addition, attention is paid to phasing in the zirconium–oxygen system. It is noted that the most effective method of surface engineering of Zr and its alloys is plasma electrolytic modification (PEM) technology. Specific examples and modes of modification are described, and the reached results are analyzed. The relevance, novelty and originality of the review are determined by the insufficient knowledge about a number of practical features concerning the formation of functional oxide coatings on Zr and some of its alloys by the technology of PEM. In particular, the information on the phase composition and possibilities of stabilization of the tetragonal and cubic modifications of ZrO2, the effects of the component composition of electrolyte solutions and electrolyte suspensions, and the specifics of the treatment of additive shaping and deformed materials are rather contradictory. This review aims to collect recent advances and provide insights into the trends in the modification of Zr and its alloys, promote the formulation of practical recommendations and assess the development prospects.