Coating on zirconium alloy is one of important way to improve the properties of fuel cladding under nuclear power plant accident. The research progress of coating on the surface of zirconium alloy are summarized in this article, which include types, preparation process, microstrutures, steam oxidation resistance properties and corrosion resistance properties. The selection basis of coating, and the relationship between preparation process, microstructure and steam oxidation resistance properties are discussed. Some problems in the present researches and development of coating are analyzed. The results can provide valuable references for promoting development of coating on nuclear fuel cladding.