In this work, the possibility of fabricating composite magneto-optical ceramics by electrophoretic deposition (EPD) of nanopowders and high-temperature vacuum sintering of the compacts was investigated. Holmium oxide was chosen as a magneto-optical material for the study because of its transparency in the mid-IR range. Nanopowders of magneto-optical (Ho0.95La0.05)2O3 (HoLa) material were made by self-propagating high-temperature synthesis. Nanopowders of (Y0.9La0.1)2O3 (YLa) were made by laser synthesis for an inactive matrix. The process of formation of one- and two-layer compacts by EPD of the nanopowders from alcohol suspensions was studied in detail. Acetylacetone was shown to be a good dispersant to obtain alcohol suspensions of the nanopowders, characterized by high zeta potential values (+29–+80 mV), and to carry out a stable EPD process. One-layer compacts were made from the HoLa and YLa nanopowders with a density of 30–43%. It was found out that the introduction of polyvinyl butyral (PVB) into the suspension leads to a decrease in the mass and thickness of the green bodies deposited, but does not significantly affect their density. The possibility of making two-layer (YLa/HoLa) compacts with a thickness of up to 2.6 mm and a density of up to 46% was demonstrated. Sintering such compacts in a vacuum at a temperature of 1750 °C for 10 h leads to the formation of ceramics with a homogeneous boundary between the YLa/HoLa layers and a thickness of the interdiffused ion layer of about 30 μm.