This study investigates the mechanical performance and photoluminescence of SrAl2O4:Eu2+,Dy3+ phosphor–epoxy composites as a function of filler loading. SrAl2O4:Eu2+,Dy3+ (SA2-Green) long afterglow phosphor particles (25–75 μm), synthesized via a solid-state reaction, are incorporated into an epoxy matrix in both uncoated and ~13 nm TiO2-coated forms using atomic layer deposition (ALD). The composites are fabricated as dog-bone-shaped specimens and evaluated using uniaxial tensile testing. Structural and photoluminescence (PL) analyses confirm that the crystalline structure and emission properties of the phosphor particles are preserved after embedding them in the epoxy matrix. The mechanical results show that the composites with 0.5 wt.% phosphor loading exhibit the highest tensile strength, toughness, and elongation, following the trend 0.5 wt.% > 1 wt.% > 2 wt.% > pure epoxy. The enhancement at low loading is attributed to particle-induced toughening mechanisms, such as crack deflection, interfacial debonding, and crack–particle interactions, whereas higher loadings lead to particle agglomeration and stress concentration, reducing performance. TiO2 ALD coatings increase the Young's modulus owing to improved interfacial adhesion and stress transfer but reduce the toughness by suppressing energy-dissipating mechanisms. These findings highlight the critical role of interfacial engineering and particle dispersion in the design of multifunctional phosphor–epoxy composites with potential applications in mechanoluminescent sensing and smart materials.