Laser three-dimensional (3D) printing has become a significant technique to fabricate high-performance Al₂O₃-based eutectic ceramics based on melt growth. However, oxygen vacancies are inevitable crystal defects during this process, and their formation mechanism and roles in the as-deposited ceramics are still unclear. In this paper, Al₂O₃/GdAlO₃/ZrO₂ ternary eutectic ceramics were prepared by laser 3D printing, and the formation mechanism of the oxygen vacancies was revealed by conducting a well-designed annealing experiment. In addition, the effects of the oxygen vacancies on the structure and mechanical property of the as-solidified eutectic ceramic were investigated. The formation of oxygen vacancies is revealed to be a result of the transfer of oxygen atoms from the oxide ceramic to the oxygen-deficient atmosphere by means of vacancy migration mechanism. Besides, the presence of oxygen vacancies has no obvious effects on crystalline structure and microstructure of the additively manufactured eutectic ceramic. However, the chemical bond property changes to some extent due to the formation of these crystal defects, which may affect the mechanical property of the as-deposited eutectic ceramic. It is found that the hardness decreases by 3.9%, and the fracture toughness increases by 13.3% after removing the oxygen vacancies. The results may provide a potential strategy to regulate the mechanical property of the oxide ceramic materials.