Thermal barrier coatings (TBCs) are a fundamental technology used in high-temperature applications to protect superalloy substrate components. However, extreme high-temperature environments present many challenges for TBCs, such as the degradation of their thermal and mechanical properties. Hence, highly insulating, long-life TBCs must be developed to meet higher industrial efficiency. This paper reviews the main factors influencing the thermal insulation performance of TBCs, such as material, coating thickness, and structure. The heat transfer mechanism of the coating is summarized, and the degradation mechanism of the thermal insulation is analyzed from the perspective of the coating structure. Finally, the recent advances in improving the thermal insulation and lifetime of coatings are reviewed in terms of advanced materials and structural design, which will benefit advanced TBCs in future engineering applications and provide guidance for the next generation of high thermal insulating TBCs.