This paper aims to improve the density and thermal shock resistance of Y2O3 ceramics for the preparation of ultra‐pure high‐temperature alloy crucible materials. The doping effect of MgF2 content on the densification behavior, physical properties, and thermal shock resistance of Y2O3 ceramics was systematically investigated in this paper. The results suggested that the presence of MgF2 greatly promoted the growth of Y2O3 grains and the transformation of the pore structure by liquid‐phase sintering. And the mechanical properties of the MgF2‐doped Y2O3 ceramics were significantly improved. Besides, the marked improvement in the thermal shock resistance of MgF2‐doped Y2O3 ceramics was attributed to the synergistic action resulting from the growth of grain size and the enhancement of the crack deflection effect. In particular, the relative density of Y2O3 ceramics doped with 1.5 wt% MgF2 reached 96.4% and the residual flexural strength ratio after thermal shock achieved 45.0%, showing an excellent application prospect.