In the field of thermal barrier coatings (TBCs) for gas turbines, suspension plasma sprayed (SPS) submicrometer-structured coatings often show unique mechanical, thermal, and optical properties compared to conventional atmospheric plasma sprayed ones. They have thus the potential of providing increased TBC performances under severe thermo-mechanical loading. Experimental results showed the capability of SPS to obtain yttria stabilized zirconia coatings with very fine porosity and high density of vertical segmentation cracks, yielding high strain tolerance, and low Young’s modulus. The evolution of the coating microstructure and properties during thermal cycling test at very high surface temperature (1400 °C) in our burner rigs and under isothermal annealing was investigated. Results showed that, while segmentation cracks survive, sintering occurs quickly during the first hours of exposure, leading to pore coarsening and stiffening of the coating. In-situ measurements at 1400 °C of the elastic modulus were performed to investigate in more detail the sintering-related stiffening.