The thermal barrier coating of La1.4Nd0.6Zr2O7(LNZ) on Mo substrate was prepared by the air plasma spraying with self-developed LNZ thermal spray powder. The thermal physical properties of LNZ powder were examined. The thermal shock resistence and thermal barrier effects of LNZ coatings were tested and compared with those of yttria stabilized zirconia(YSZ) thermal barrier coating. The results show that comparing with YSZ coating, LNZ thermal barrier coating is more suitable for Mo substrate because of its lower thermal expansion coefficient, lower thermal conductivity and sintering rate.