This study investigates formation processes and structure development in gas turbine sealing coatings, with particular focus on structural-phase transformations in yttrium-containing coatings and their property changes. Thermophysical properties, including heat capacity, thermal diffusivity, thermal conductivity, and coefficient of linear thermal expansion (CLTE) were evaluated for gas turbine engine run-in sealing coatings. Experimental coatings were developed by alloying a base nickel coating (Ni-base; Si: 1.4–2.5%; Al: 1.0–3.0%; graphite: 1.5–2.0%; BN: 15.0–19.0%) with three different yttrium-containing master alloys: pure yttrium, Ni-Y binary composition, and a complex Co-Ni-Cr-Al-Y system. The study examined the solid phase structure and pore morphology in coatings with varied chemical compositions applied via flame spraying onto metal substrates. The research established correlations between dilatometric curve patterns, alloying methods, and heating cycles of both coatings and substrate materials. Notably, coatings alloyed with Ni-Y binary composition exhibited extrema on their heat capacity temperature dependence curve, attributed to phase transformations within specific coating phases. Additionally, all yttrium-containing master alloys produced a consistent trend toward decreased thermal diffusivity in the coatings, primarily due to the formation of additional phases with reduced heat capacity and thermal diffusivity characteristics. These findings can be applied to optimize chemical compositions and alloying methods for advanced yttrium-containing coatings, and to assess thermal and stress–strain states in gas turbine stator components.