Embodiments of the present disclosure generally relate to protective coatings on turbocharger components, such as turbine wheels and compressor wheels, and other rotary equipment components and methods for depositing the protective coatings on such components. In one or more embodiments, a coated turbocharger component is provided and includes a metallic substrate containing a nickel-based alloy or superalloy, a cobalt-based alloy or superalloy, a stainless steel, or a titanium-aluminum alloy and a protective coating disposed on the metallic substrate. The protective coating contains an aluminum oxide having a purity of greater than 99 atomic percent (at %). In some examples, the metallic substrate is a turbine wheel, a compressor wheel, an impeller, a fan blade, a disk, a heat shield, a pulley, or a shaft.