The thermal barrier coating samples of different thickness with alumina coated zirconia and zirconia as coating materials were prepared on theSsurfaceSof heat resistant alloy steel substrate after activationStreatment with NiCoCrAlY as adhesive transition layer by plasma spraying method and spray gun quick spraying process. The bonding strength and thermal insulation property of two kinds of ceramic coating with the same thickness were compared by the test results of bonding strength, high temperature heat insulation and microstructure, and the relationship between the coating thickness and heat insulation effect were investigated. The results indicate that the structure and property of thermal barrier coating using nano-Al₂O₃ coated ZrO₂-Y₂O₃ powder are superior to that using single zirconia powder. The thermal insulation property of the thermal barrier coating increased with the increasing of coating thickness, and the advantage is more obvious with temperature increasing.