Volcanic ashes are considered a serious threat to the aircraft industry. At high temperatures, they inflict severe thermochemical damage to the typical 7 wt.% yttria-stabilized zirconia thermal barrier coatings that protect the aircraft turbine. There is a need to evaluate alternative materials with excellent resistance to infiltration of molten siliceous particles, such as gadolinium zirconate. In this work, free-standing thermal barrier coatings of gadolinium zirconate were manufactured by atmospheric plasma spraying, varying deposit parameters to obtain different relative densities to evaluate the infiltration of molten Colima volcanic ashes for 1 h and 10 h at 1250 °C. The infiltration depth and the reaction products resulting from each interaction, were studied by different characterization techniques. In general, the coatings show high resistance to the infiltration of the volcanic ashes, reaching infiltration depths between 50 µm and 80 µm after 10 h of infiltration time. In this sense, gadolinium zirconate coatings are excellent candidates against the infiltration of Colima volcanic ashes compared to the typical yttria-stabilized zirconia-based thermal barrier coatings.