Self-lubricating polymer composite coatings, with tailorable tribological and mechanical properties, have been widely employed on mechanical parts to reduce friction and wear, which saves energy and improves the overall performance for applications such as aerospace satellite parts, shafts, gears, and bushings. The addition of functional fillers can overcome the limitations of single-polymer coatings and extend the service life of the coatings by providing a combination of low friction, high wear resistance, high load bearing, high temperature resistance, and high adhesion. This paper compares the heat resistance, and the tribological and mechanical properties of common polymer matrices, as well as the categories of functional fillers that improve the coating performance. Applicable scopes, process parameters, advantages, and limitations of the preparation methods of polymer coatings are discussed in detail. The tribological properties of the composite coatings with different matrices and fillers are compared, and the lubrication mechanisms are analyzed. Fillers reduce friction by promoting the formation of transfer films or liquid shear films. Improvement of the mechanical properties of the composite coatings with fillers of different morphologies is described in terms of strengthening and toughening mechanisms, including a stress transfer mechanism, shear yielding, crack bridging, and interfacial debonding. The test and enhancement methods for the adhesion properties between the coating and substrate are discussed. The coating adhesion can be enhanced through mechanical treatment, chemical treatment, and energy treatment of the substrate. Finally, we propose the design strategies for high-performance polymer composite coating systems adapted to specific operating conditions, and the limitations of current polymer composite coating research are identified.