In this study, the mechanical resistance and the thermal insulation potential of novel thermal barrier coatings (TBCs) made of a foam of hollow alumina particles are assessed through scratch testing, micro-indentation and thermal diffusivity measurements using laser-flash. The thermal diffusivity of the foam coatings ranges between 0.6 × 10−7 and 5 × 10−7 m2·s−1 and is thus comparable with the thermal insulation potential of the standard plasma-sprayed (PS) and electron beam–physical vapour-deposited (EB-PVD) TBCs made of yttria-stabilised zirconia (YSZ). The coatings annealed in more oxidative atmospheres exhibit greater mechanical resistance due to the thickening of the alumina shells and the increased sintering of the foam. However, when the oxidation is poorly tailored, the adhesion of the foam to the substrate decreases due to the presence of unwanted oxide that grows at the substrate/coating interface.