Plasma electrolytic oxidation (PEO) has emerged as a versatile technique for producing ceramic-like coatings on light metals, yet achieving tailored functionalities often requires in situ addition of particles. Functionalising PEO coatings in this manner can provide advanced properties such as enhanced corrosion resistance, improved wear performance, photocatalytic activity, thermal, and biological functionalities, amongst others. To date, a diverse array of particles, including oxides, nitrides, carbides, metallic powders, and more complex two- or three-dimensional nanostructures, have been explored for incorporation into PEO coatings. Approaches to particle incorporation vary widely. Adjusting particle concentration, size, and surface charge can influence their incorporation process. Likewise, controlling the electrical parameters (voltage, current density, frequency, and duty cycle) can promote efficient particle uptake while minimising degradation reactions. Through careful process optimisation, particles may be introduced non-reactively (i.e. inert), partially reactively, or fully reactively, depending on their size, melting point, chemical stability, and structural complexity. Multiple mechanisms have been proposed to explain the incorporation of particles into PEO coatings. Typically, particles migrate towards the coating surface, adsorb onto the growing oxide layers, and become physically entrapped within molten oxide pools. Additional theories point to short-circuit paths and discharge channels as alternate routes for deeper penetration. Overall, these findings pave the way for designing advanced PEO coatings with carefully tuned functionalities and performance characteristics.