The aim of this study was to develop a ZrO₂-Al₂O₃ composite coating with excellent mechanical, corrosion, and tribocorrosion behaviour on Zr-2.5 Nb alloy substrate for load-bearing implants. The bipolar waveforms utilizing cathodic duty cycles of 10, 20, and 40 were applied to produce composite coatings using the plasma electrolytic oxidation in an aluminate-phosphate electrolyte bath. The ZrO₂-Al₂O₃ composite coatings had a net-like morphology with pores and cracks. When the cathodic duty cycle increased to 40, the Al₂O₃ was accumulated on the surface, with an enhanced thickness (5.39±0.67 µm) and compactness of the coating with significantly improved hardness (2x higher). The composite coating developed at the cathodic duty cycle of 40 displayed the highest corrosion performance in phosphate buffer saline (PBS) even after 16 weeks of immersion. Moreover, the tribocorrosion test indicated the lowest volume loss of about 0.038 mm³ and showed no potential fall-out during the sliding test against the SiC ball. In summary, the ZrO₂-Al₂O₃ composite coating developed by the PEO process resulted in noticeable corrosion and tribocorrosion performance of the Zr-2.5 Nb alloy desirable for knee implants.