In this paper, two coatings (Zr(84.61 at.%)Cr/Zr(17.39 at.%)Cr/Al₂O₃ and Al₂O₃ without ZrCr gradient interfacial layer) were fabricated by intermediate frequency magnetron sputtering and supersonic plasma spraying on zirconium alloy (Zr-4) substrate. The influence of ZrCr gradient interfacial layer on the interface microstructure, adhesiveSstrength and thermal shock resistance of two coatings was studied by XRD,SEM and HRTEM. The results show that the adhesiveSstrength of Zr-4/ZrCr /Al₂O₃ system can be significantly increased to 50.3±2.52 MPa about 46% higher than that of Zr-4/Al₂O₃ system by adding ZrCr gradient interfacial layer. In the process of thermal shock test, It is found that the interface of Zr-4/ZrCr/Al₂O₃ system remian intact because of its higher adhesiveSstrength and formation of dense Cr₂O₃ in ZrCr gradient transition layer protecting Zr-4 substrate from oxidation. The interface of Zr-4/Al₂O₃ system, however, appears obvious cracking or even peeling behavior, the main reason is that thermal stress concentration in the interface of Zr-4/Al₂O₃ system leads to Zr-4/Al₂O₃ interface cracking. In the process of subsequent thermal shock test, the formation of loose ZrO₂ at the Zr-4/Al₂O₃ interface cracking confirmed by HRTEM and line scanning results was the root cause for aggravating the large-scale peeling to failure of the coating.