The nano-structured functionally graded 8YSZ/NiCoCrAlY thermal barrier coatings (FG-TBCs) were prepared using a recently developed Supersonic Plasma Spraying (S-PS) system with dual powder feed ports. The alloy powders were fed into the lower temperature regions of the plasma plume through one of them to prevent it over molten and oxidation. The ceramic powders were fed into high temperature regions through another for fully melted. The thermal shock behavior of the FG-TBCs were investigated. It was found the totally 1mm thick FG-TBCs layer still maintained nano-structure form by TEM, and also exhibited a finely lamellate microstructure mixed by alloy and ceramic with gradient along the thickness direction by SEM. The FG-TBCs exhibit excellent thermal shock resistance due to it was still perfect without any spallation after thermal shock test over 200 cycles under heating by oxygenacetylene flam to 1250°C in 30s and then quenching into ambient water.