Thermal barrier coatings (TBCs) for more efficient gas turbine engines require higher operating temperature. Adopting pyrochlore structure materials such as rare-earth zirconate and double-ceramic-layer (DCL) structure can well satisfy service demands of TBCs at elevated temperature. The nanostructured single-ceramic-layer (SCL) 8YSZ, DCL Sm2Zr2O7 (SZ)/8YSZ and doping 8 wt% CeO2 nanoparticles in SZ (8CSZ)/8YSZ TBCs were prepared by atmospheric plasma spraying (APS) in this work. The high temperature oxidation behavior and thermal insulation property of the three kinds of as-sprayed TBCs were investigated systematically at 1000 °C and 1200 °C. The results indicate that the nanostructured DCL 8CSZ/8YSZ TBCs have the best oxidation resistance and thermal insulation property at different temperatures among others. The influence of microstructure on thermal insulation property of the coating has been discussed in detail.