Nanostructured 8 wt% yttria partially stabilized zirconia coatings were deposited by air plasma spraying. Transmission electron microscopy, scanning electron microscopy, and X-ray diffraction were carried out to analyze the as-sprayed coatings and powders. Mercury intrusion porosimetry was applied to analyze the pore size distribution. Laser flash technique and differential scanning calorimetry were used to examine the thermophysical properties of the nanostructured coatings. The results demonstrate that the as-sprayed nanostructured zirconia coatings consist of the nonequilibrium tetragonal phase. The microstructure of the nanostructured coatings includes the initial nanostructure of powder and columnar grains. Moreover, micron-sized equiaxed grains were also exhibited in the nanostructured coatings. Their evolution mechanisms are discussed. The as-sprayed nanostructured zirconia coating shows a bimodal pore size distribution, and has a lower value of thermal conductivity than the conventional coating.