Incorporation of carbon nanotubes (CNTs) into ceramic layers during plasma electrolytic oxidation (PEO) is promising for direct synthesis of composite protective coating on lightweight metallic alloys. In the present study, complementary characterization techniques were used in order to definitively assess the presence of CNTs through the thickness of a PEO alumina coating formed in a silicate-based electrolyte containing dispersed multi-walled carbon nanotubes (MWCNTs). Cross-checked results helped in evidencing that MWCNTs are partially incorporated in the thickness of the PEO alumina coating, and more precisely through the porous outer sublayer. They were mainly found in the form of scaffolds that line the interior walls of pores. To a lesser extent, some individual MWCNTs were found interlocked in the fine grain structure of alumina. The analysis of the specific Raman bands of MWCNTs also highlighted that incorporation is associated with an alteration of the structural integrity of the MWCNTS. It was also established that the increase in the amount of dispersed MWCNTs results in a thicker but more porous CNTs-enriched PEO coating. Based on the collected results, some precisions regarding the incorporation mechanisms were proposed.