We address Bloch oscillations of a spin-orbit coupled atom in periodic potentials of two types: optical and Zeeman lattices. We show that in optical lattices the spin-orbit coupling allows controlling the direction of atomic motion and may lead to complete suppression of the oscillations at specific values of the coupling strength. In Zeeman lattices the energy bands are found to cross each other at the boundaries of the Brillouin zone, resulting in period doubling of the oscillations. In all cases, the oscillations are accompanied by rotation of the pseudospin, with a dynamics that is determined by the strength of the spin-orbit coupling. The predicted effects are discussed also in terms of a Wannier-Stark ladder, which in optical lattices consist of two mutually shifted equidistant subladders.