The formation of fine particles during the Plasma Electrolytic Oxidation process (PEO) was investigated. Particles were produced by carrying out PEO treatments on two different grade of aluminium alloy (Al1050, Al2024) and a low-alloyed zirconium grade (Zr-M5). They were characterized at different scales mainly using transmission electron microscopy. Whatever the processed material, results show that particles exhibit a hollow spherical shape with outer diameter ranging from 100 nm to 10 μm. They consist of polycrystalline alumina (η- and α-Al2O3) for the PEO of aluminium alloys and zirconia (m-ZrO2) for the zirconium alloy. A correlation is drawn between the microstructure of the produced particles and the “pancake”-like structure that usually develops over PEO coatings. On this basis, a descriptive mechanism of the formation of these metal oxide particles is proposed. The ignition of a micro-discharge inside the “pancake” cavity induces the propagation of a pressure shockwave that pushes the molten oxide through the narrow orifice of the “pancake” structure. Like a rubber balloon, the molten oxide forms a hollow sphere and is rapidly quenched by the surrounding electrolyte and ejected into the electrolyte.