Thermal barrier coatings (TBCs) have very important applications in gas turbines for higher thermal efficiency and protection of components at high temperature. TBCs of rare earth materials such as lanthanum zirconate (La2Zr2O7, LZ), lanthanum yttrium zirconate (3wt% Y2O3- La2Zr2O7, 3YLZ), lanthanum cerium zirconate (La2(Zr0.7Ce0.3)2O7, LZ7C3) were prepared by electron beam-physical vapor deposition (EB-PVD). The compositions, crystal structures, thermal expansion behaviors, cross-sectional morphologies and cyclic oxidation behaviors of these coatings were studied. These coatings have partially deviated from their original compositions due to the different evaporation rates of oxides, and the deviation could be reduced by properly controlling the deposition condition. The thermal expansion behavior of LZ coating can be largely improved after doping with 3wt% Y2O3 and CeO2. The excess La2O3, chemical incompatibilities of the ceramic coatings with thermally grown oxide (TGO) layers, the visible cracks initiation, propagation and extension, the abnormal oxidation of bond coat, and the thermal expansion mismatch between ceramic coatings and bond coat are the primary factors for the spallation of LZ, 3YLZ and LZ7C3 coatings.