Thermal barrier coatings (TBCs) protection is widely used to prolong the lifetime of turbine components. The outermost layer of TBCs is ceramic layer, whose function is heat insulation, and the main composition of the ceramic layer is ZrO2. In this study, the micro-ZrO2 and the nano-ZrO2 doped with 10 wt% CeO2 as well as micro-ZrO2 and nano-ZrO2 were prepared by air plasma spraying (APS) to study the advantages of the addition of rare earth element. The effect of CeO2 on the phase transformation of ZrO2 was studied. The results show that there are few cracks in micro- and nano-ZrO2 doped with 10 wt% CeO2, and rare earth oxides can affect the phase transformation significantly. The morphologies, hardness and elastic modulus of the four ceramic layers were also discussed.