A new thermal barrier coating system based on Dy2Zr2O7, which had a lower thermal conductivity and closer thermal expansion coefficient to nickel-based superalloys, was prepared by the air plasma spraying (APS). The microstructure, phase composition and thermal-shock resistance of the as-sprayed coatings were studied. Besides, the failure process of the coating during thermal cycles was also discussed. After 6~8 thermal-shock cycles, coatings spalled from the specimens. Micro cracks in the top coat grew and crushed the ceramic top coat in the vicinity of bond coat interface into pieces, and then led to the spallation of the top coat.