In this work, multilayer gradient coatings obtained by detonation spraying were studied. To obtain a multilayer gradient coating by detonation spraying, two modes with different numbers of shots of NiCrAlY and YSZ were developed. The presented results demonstrate the effectiveness of creating a gradient structure in coatings, ensuring a smooth transition from metal to ceramic materials. Morphological analysis of the coatings confirmed a layered gradient structure, consisting of a lower metallic (NiCrAlY) layer and an upper ceramic (YSZ) layer. The variation in the contents of elements along the thickness of the coatings indicates the formation of a gradient structure. X-ray analysis shows that all peaks in the X-ray diffraction patterns correspond to a single ZrO2 phase, indicating the formation of a non-transformable tetragonal primary (t′) phase characteristic of the thermal protective coatings. This phase is known for its stability and resistance to phase transformation under changing operating temperature conditions. As the thickness of the coatings increased, an improvement in their mechanical characteristics was found, such as a decrease in the coefficient of friction, an increase in hardness, and an increase in surface roughness. These properties make such coatings more resistant to mechanical wear, especially under sliding conditions, which confirms their prospects for use in a variety of engineering applications, including aerospace and power generation.