The advancement of novel thermal barrier coatings capable of withstanding elevated service temperatures is emerging as a pivotal technology for the evolution of next-generation engines. This research employs electron beam physical vapor deposition to fabricate LaZrCeO/YSZ double ceramic layers. The study focuses on the coatings’ composition, microstructure, and thermal shock life. Additionally, the failure mechanism of the coatings under thermal cycling at 1300 °C was examined. The 1300 °C flame thermal shock testing reveals that the LaZrCeO/YSZ coatings exhibit excellent thermo-physical characteristics. During the thermal cycling process, the aluminum element from the metallic bond layer migrates outwards, leading to the formation of thermally grown oxides. Concurrently, elements from the bond coat form Ni-Co-Cr oxides. The formation of cracks within the TGO layer or at the interface between layers diminishes the cohesive strength between the metallic bond layer and the ceramic layer. This reduction in toughness is ultimately responsible for the failure of the thermal barrier coating.