Certain example embodiments relate to coatings comprising nano-particle loaded metal oxide matrices deposited via combustion deposition. The matrix and the nano-particles comprising the coating may be of or include the same metal or a different metal. For example, the coating may include a silicon oxide matrix (e.g., SiO2, or other suitable stoichiometry) having silicon oxide (e.g., silica), titanium oxide (e.g., TiO2, titania, or other suitable stoichiometry), and/or other nano-particles embedded therein. In certain example embodiments, the coating may serve as an anti-reflective (AR) coating and, in certain example embodiments, a percent visible transmission gain of at least about 2.0%, and more preferably between about 3.0-3.5%, may be realized through the growth of a film on a first surface of the substrate. In certain example embodiments, the microstructure of the final deposited coating may resemble the microstructure of coatings produced by wet chemical (e.g., sol gel) techniques.