Multi‐element doped zirconia ceramics are of interest as a satisfactory balance in low thermal conductivity, phase stability, and particularly fracture resistance dominated by non‐transformable tetragonal prime phase (t′) for the next generation thermal barrier coatings and catalysis supports. Compared with mass and radius of dopants, dopant location is rarely investigated due to the high complexity. The undersized transition metal oxides (Fe, Co, and Ni) within 2.0 mol% content were selected for doping 3Y‐TZP to improve thermophysical properties by distinctive doping locations. As shown by X‐ray diffraction and Raman spectra, the Fe3+/Fe2+ ions occupied both substitution and interstitial sites simultaneously, which significantly increased tetragonality and local anisotropy of FeY‐TZP polycrystal. The t′ phase transformation mechanism of the FeY‐TZP compounds quantitatively discussed regarding the coercive strain and stress. In opposition to prediction by Kopp's law, the coefficient of thermal expansion and specific heat capacity of the FeY‐TZP compounds unusally decreased, and the maximum reduction of −83% and −22.5% occured in the 1.0 mol% Fe doping. Cp‐T dependency of the specimens above 550 K strongly related with lattice anisotropy in addition to t′ phase content. Thermomechanical properties of the multicomponent zirconia are highly tunable with dopant locations, supplying a novel landscape for designing high‐entropy ceramics.