Various oxides of Al2O3, ZrO2–Y2O3, and Ta2O5 were coated on ferritic–martensitic steel for application as an environmental barrier layer. Sol–gel based coating was investigated to form the oxides by varying the coating parameters, such as the concentration of the precursors, the temperature of the curing, cycles of repeated runs, and additional heat-treatment. The obtained coatings revealed nano-sized granular structures. The surface morphologies were rough in alumina and zirconia, but appeared smooth in tantalum oxide. In the case of alumina and tantalum oxide, coated layers were mostly amorphous after pyrolysis at 750 °C. The crystalline phases were obtained after an additional heat-treatment at 950 °C. In the case of zirconia, a desirable oxide phase was formed when the samples were cured at 750 °C during the coating process. In addition to the heat-treatment after the coating, the repeated coatings were effective in crystallizing the coated layers and forming proper oxides.