High-temperature thermal protection coatings involve multiple dimensions, including high emissivity radiation heat dissipation protection, low thermal conductivity insulation protection, and multifunctional thermal protection characterized by high-temperature resistance/antioxidant/ablation resistance. Plasma electrolytic oxidation (PEO) coating can be grown in situ on lightweight metal surfaces and is characterized by low thermal conductivity and high binding strength, which is a potential way for preparing high-performance thermal protection coating. Until now, designing and preparing large-area, low-cost PEO coating with high emissivity, low thermal conductivity, and multiple thermal protection characteristics is urgently needed, and it remains a challenge to date. This chapter provides a comprehensive review of the principles of thermal protection and the modulation of infrared emissivity and thermal conductivity in titanium alloys and niobium alloys. The composition, microstructure, and functional properties within PEO coating are designed and modulated for high-performance thermal protection coating by controlling the composition and concentration of electrolytes, electrical parameters, and doping with nanoparticles. Emphasis is placed on the design and preparation of high emissivity PEO coating to break the working temperature limit and ensure the reliability of the hot-end components in service. Furthermore, the future research directions of PEO thermal protection coating while facing higher service temperatures are explored.