Nanostructured and conventional zirconia coatings on superalloys have been deposited to show thermal shock resistance and oxidation resistance by atmospheric plasma spraying. The results showed that the nanostructured zirconia coating mainly contained two kinds of microstructures, nanosized zirconia particles embedded in the matrix and micrometer-sized columnar grain structures of zirconia similar to those of conventional zirconia coating. Compared with the conventional zirconia coating, the nanostructured coating is denser and has finer and less porous structure and fewer microcracks with higher thermal shock resistance and isothermal oxidation resistance. With increasing zirconia coating thickness from 100 to 500 μm, the thermal shock resistance of both nanostructured and conventional coatings decreased. The increased properties of nanostructured zirconia coating are related to improved toughness and decreased porosity and microcrack of the coating.