A new composite coating material of ceramic (Al₂O₃-40 wt% TiO₂)–metallic glass (Fe₅₆Cr₂₃Mo₁₃B₈) gradient transition coating was successfully prepared by atmospheric plasma spraying technology, and a new theory of laminar–columnar structure gradient transition synergistic enhancement effect was proposed. The microstructure and element distribution of the composite coating were studied by scanning electron microscopy (SEM), X-ray diffraction (XRD), and electron probe microanalysis (EPMA). The fracture toughness and fracture behaviour of the composite coating were analysed via micro-hardness and three-point bending (3PB) tests. The results showed that the stress release of the ceramic–metallic glass gradient transition coating was stable compared with that of the conventional gradient coating in the stage of acute deformation, and the coating exhibited better fracture toughness. Different areas of the ceramic–metallic glass gradient transition coating exhibited different fracture behaviours. Additionally, the ceramic layer was made of columnar crystals, and the metal–glass layer was lamellar. The laminar–columnar structure gradient transition synergistic enhancement effect improved the anti-crack growth and fracture toughness. This study provides a new and viable option for the improvement of thermal spraying ceramic composite coatings.