A NiCrAlSi/CeO2 doped YSZ coating on the surface of a gamma-TiAl alloy and a preparing method thereof are disclosed. The coating includes a NiCrAlSi deposit layer, a plasma oxygen penetrated ceramic film and a CeO2 doped YSZ heat insulating layer which are arranged on a substrate in order from bottom to top. The method includes pretreating the surface of the gamma-TiAl alloy substrate; forming a peak-shaped array microstructure on the substrate surface by utilizing a plasma etching technique; forming the NiCrAlSi deposit layer on the substrate by utilizing a multi-arc plasma plating technique;forming the dense plasma oxygen penetrated ceramic film on the surface by utilizing a plasma oxygen penetration process; and depositing the CeO2 doped YSZ on the obtained coating by utilizing a multi-arc plasma plating technique. The bonding strength between the gamma-TiAl alloy and the NiCrAlSi/CeO2 doped YSZ coating is improved.