A novel plasma-spray process, featuring simultaneous injections of dry powders and multiple liquid streams, was employed to produce composite coatings where sub-micrometric particles of Al2O3 and hexagonal BN (h-BN) are dispersed within a NiCrAlY metal matrix. Various coatings, containing up to ≈10 wt% Al2O3 and ≈9 wt% h-BN, were obtained. A co-deposition effect was noted whereby a higher h-BN feed also increases Al2O3 incorporation in the coating, even under a constant flow rate of Al2O3 suspension. Although the microhardness (≈600 HV0.3) seemed rather insensitive to the composition of the coatings, their sliding wear resistance (tested under ball-on-disk configuration against corundum spheres at various temperatures) improved with increasing contents of Al2O3 and h-BN. The improvement was more significant at room temperature, but some beneficial effect also emerged when testing at 400 °C and 700 °C. Al2O3 and h-BN indeed promote the formation and enhance the mechanical stability of an oxide-based tribofilm, protecting the coating surface from direct contact with the counterbody. Specific tribofilm formation mechanisms however vary with temperature. Overall, coatings containing ≥5 wt% of Al2O3 and h-BN keep a reasonably stable wear rate (<5*10−4 mm3/(Nm)) over a wide temperature range.