Thick thermal barrier coatings (TTBCs) for diesel engine applications are being developed to improve engine performance through increased operating temperatures and lower emissions. To more completely assess the bulk properties of coating materials, a miniature test stand for the mechanical testing of coating materials independent of the substrate was developed. Using a piezoelectric translator as an actuator and a miniature load cell, it was possible to conduct uniaxial testing in both compression and tension of very small samples. In this study, room temperature deformation experiments were conducted on an air plasma-sprayed 24% CeO2-ZrO2 coating material. Mechanical properties in both the in-plane and transverse coating directions were evaluated in both compression and tension. From simple monotonic tests, the anisotropy of the material could be quantified. A key finding was that both the loading modulus and tensile strength were about two to three times higher in the in-plane direction. This anisotropy is believed to be due to the directionality of microcracking in the material. Cyclic loading experiments showed that the coating material also exhibits considerable irreversible strain behavior in both the transverse and in-plane directions. A model describing the irreversible strain behavior based on the combined sliding and closing of pre-existing microcracks is proposed and compared with experimental results. It is shown that the model describes the qualitative and quantitative aspects of the material behavior quite well, especially in compression.