The invention relates to a thermal barrier coating on the surface of a steel substrate, which comprises a glass bonding layer and a ceramic surface layer, wherein the glass bonding layer and the ceramic surface layer are respectively deposited on the surface of the steel substrate by electrophoretic deposition through glass powder and rare earth zirconate powder. In the invention, the glass capable of being well combined with the substrate is used as the bonding layer, thus the thermal shock resistance of the coating can be effectively improved; and the rare earth zirconate is used as the surface layer material, thus the coating has better heat-insulating property and oxidation resistance. The thickness of the coating can be conveniently adjusted by adjusting electrophoretic deposition process parameters to enable the strength and the thickness of the coating to reach a good proportion to be suitable for different service environment conditions. The invention has the advantages of simple technical method and simple and convenient operation; a composite ceramic heat-insulating coating which uses glass as a bonding layer and uses rare earth zirconate as a surface layer is prepared on a metal surface through electrophoretic deposition-activated sintering technology; and the coating has excellent thermal shock resistance, heat-insulating property and oxidation resistance, can realize industrialized production, and is especially suitable for surface treatment of high temperature resistant equipment for boilers, steam turbines, power machinery, industrial furnaces, aviation industry, petrochemical industry and the like.