Five kinds of multi-component entropy-stabilized oxide ceramics were prepared by a solid-state reaction method for thermal barrier coatings, namely La0.125Y0.125Yb0.125Gd0.125Zr0.5O1.75 (LaYYbGdZr), Y0.125Yb0.125Gd0.125Ta0.125Zr0.5O1.875 (YYbGdTaZr), La0.1Y0.1Yb0.1Gd0.1Ta0.1Zr0.5O1.85 (LaYYbGdTaZr), Y0.125Yb0.125Gd0.125Ta0.125Hf0.25Zr0.25O1.875 (YYbGdTaHfZr), and La0.1Y0.1Yb0.1Gd0.1Ta0.1Hf0.25Zr0.25O1.85 (LaYYbGdTaHfZr). Many properties of the materials were studied, such as their microscopic morphology, crystal structure, thermophysical properties, and ablation resistance. The results show that the oxide ceramics synthesized in this paper have a uniform single-phase defect fluorite structure, and can still maintain this structure after high-temperature treatment at 1500 °C. The YYbGdTaHfZr coatings had the lowest thermal conductivity (0.61~0.89 W·m–1·K–1), which was much lower than that of YSZ. The ceramic blocks also exhibited excellent thermal expansion properties. The thermal expansion coefficient of LaYYbGdTaZr could reach 11.09 × 10−6 K−1 (1400 °C), which was slightly higher than that of 8YSZ (11.0 × 10−6 K−1). The antioxidant ablation results proved that the YYbGdTaHfZr coating showed the best heat-insulating property. All the results showed that the YYbGdTaHfZr coating is a promising thermal barrier coating.