Porous calcia stabilized zirconia ceramics (CSZC) with closed pores were presurelessly sintered by adding different contents of zirconia hollow balls. CSZC FGM with porosity gradient structure was then fabricated by laminating five layers with designed contents of zirconia hollow balls. The porosity, microstructure, and bending strength of the obtained CSZC samples were characterized. The results show that the hollow balls distribute uniformly and are well bonded with the matrix, and the porous structure is mainly composed of closed pores. The porosity of the CSZC increases linearly from 5.7 % to 31.6 % when the content of zirconia hollow balls increases from 0 % to 30 %, and the bending strength decreases rapidly from 297 MPa to 30 MPa. The thermal shock behavior of the CSZC and FGM was evaluated using air-quenching technique. It is shown that the residual bending strength of the quenched samples increases after several quenching cycles, and the samples are damaged by thermal shock after eight thermal cycles because of the production of monoclinic zirconia. FGM samples with porosity gradient structure can endure above twelve thermal shock cycles and exhibits better thermal shock resistance.