Plasma electrolytic oxidation (PEO) enables the fabrication of multifunctional oxide coatings with embedded active phases, offering a promising route for durable photocatalytic surfaces in water purification. This study examines how the electrical regime affects particle incorporation and photocatalytic performance. Coatings were produced under a 50% duty cycle in both unipolar mode and during the anodic part of the bipolar mode. A silicate-based electrolyte was modified with zeolites (Y and ZSM5), used in pristine form, Zn-loaded form, and combined with ZnO nanoparticles, to enhance catalytic activity. Photocatalytic performance was evaluated via methyl orange degradation under simulated solar irradiation for 6 h. The highest efficiency (~45%) was achieved with unipolar coatings containing Y zeolite and ZnO. In contrast, bipolar coatings with combined Y and ZnO showed lower efficiency (~35%). Although lower than typical powder photocatalysts, these results are notable since active phases are directly embedded in the coating, and both modes improve the photocatalytic activity by ~10% compared to the standard electrolyte. Microstructural analysis revealed that bipolar coatings were more compact, limiting access to active sites. Unipolar processing enabled better particle incorporation and a morphology more favorable for photocatalytic activity, making it the more effective regime for developing PEO-based photocatalytic coatings.