Nanostructured zirconia coating was prepared based on reasonable spraying technical parameters and corresponding thermal shock property of as-sprayed coating has been examined at 1100 篊. The structure and the surface morphology of coating have been analyzed using XRD, SEM and TEM. Experimental results show nanoparticles close to pre-existing microcracks or pores grow during thermal shock process. Based on the detailed analysis of the structure, a rational mechanism has been proposed for the failure of as-prepared coating suffered circular stress. That is, with the growth of most or all of the nanoparticles, the nanostructured zirconia coating correspondingly changes into the quasi-microstructured coating, then the thermal shock failure mode of the resulting coating can be interpreted as follows: the formation of cracks results in the propagation of cracks, which is followed by the spallation of coating, just as the failure mode of traditional micro coating.