Microstructures, thermal shock resistance and isothermal oxidation resistance of plasma-sprayed nanostructured ceria stabilized zirconia (CSZ) coatings were investigated. The results revealed that the nanostructured CSZ coatings mainly included two kinds of typical microstructures, nanosized CSZ particles embedded in the so-called matrix and micrometer-sized columnar grain structures of CSZ similar to those of the conventional coatings. Compared with the conventional CSZ coatings, the nanostructured CSZ coatings were denser and had finer and fewer porous structures and microcracks. Further study showed that the nanostructured CSZ coatings had higher thermal shock resistance and isothermal oxidation resistance compared with conventional CSZ coatings. The improved properties of the nanostructured CSZ coatings were attributed to the better coating toughness and decreased porosities and microcracks in the coatings.