Thick Nanostructured PSZ- NiCoCrAlY graded TBCs were got by air plasma spraying. The results reveal the morphology and phase transformation of TBCs by means of SEM and XRD. The plasma spray process results in a characteristic layered structure consisting of lamellae, unmelted nano-particles and an inter-lamellar porosity. The test results of thermal shock show that the graded coatings have different failure behavior, which caused by thermal stress, radial cracks penetrating and substrate oxidation. The failure mode was the spallation of top coat due to thermal stress. The improved strain tolerance of the top coat was benefited from the high coating porosity, the segmentation cracking, the fine-splat size and the unmelted nanoparticles. It has been found that the lamella consists of nanoscale columnar grains parallel to the spraying direction.