In this work, RENbO4 (RE = Y, La, Nd, Sm, Gd, Dy, Yb) ceramics with low density, low Young's modulus, low thermal conductivity, and high thermal expansion have been systematically investigated, the excellent thermo‐mechanical properties indicate that RENbO4 ceramics possess the potential as the new generation of thermal barrier coatings (TBCs) materials. X‐ray diffraction and Raman spectroscopy phase structure identification reveal that all dense bulk specimens obtained by high‐temperature solid‐state reaction belonged to the monoclinic (m) phase with C12/c1 space group. The ferroelastic domains are detected in the specimens, revealing the ferroelastic transformation between tetragonal (t) and monoclinic (m) phases of RENbO4 ceramics. The Young's modulus and hardness of the RENbO4 ceramics measured by the NanoBlitz 3D nanoindentation method are discussed in details, and the lower Young's modulus (60‐170 GPa) and higher hardness (the maximum value reaches 11.48 GPa) indicating that higher resistance of RENbO4 ceramics to failure and damage. Lower thermal conductivity (1.42‐2.21 W [m k]−1 at 500°C‐900°C) and lower density (5.330‐7.400 g/cm3) than other typical TBCs materials give RENbO4 ceramics the unique advantage of being new TBCs materials. Meanwhile, the thermal expansion coefficients of RENbO4 ceramics reach 9.8‐11.6 × 10−6 k−1 and are comparable or higher than other typical TBCs materials. According to the first‐order derivative of the thermal expansion rate, the temperature of the ferroelastic transformation of RENbO4 ceramics can be observed.