Plasma electrolytic oxidation (PEO) coatings are commonly used as protective materials in the automotive industry. In this study, textured PEO coatings with different densities of dimples are fabricated by laser surface texturing, which is followed by coating with self-lubricating polytetrafluoroethylene (PTFE) material by vacuum penetration. The topographies, microstructures, and tribological properties of the textured PEO/PTFE coatings are investigated. The results show that the texture densities have a significant effect on the tribological properties of composite PEO/PTFE coatings. The composite coating with a texture density of 39.7% shows a stable and low friction coefficient of approximate to 0.11 under test loads ranging from 5 to 20 N. In addition, this coating exhibits better carrying capacity than other textured coatings during the friction process. With the increase in dimple area density, the storage capacity of the composite coating increases, and is accompanied by a decreased load-bearing capacity. This leads to further contact with the friction interface, which is beneficial to lubrication. An ideal balance between the physical support of the PEO coating and the lubricating effect of the PTFE film is achieved.