In this paper, La2O3, Gd2O3, and Yb2O3 co-doped yttria stabilized zirconia (LGYYSZ) thermal barrier coatings were prepared on a nickel-based superalloy by atmospheric plasma spraying. The phase stability, coefficient of thermal expansion (CTE), and thermal conductivity of the LGYYSZ and YSZ coatings were measured. Thermal cycling at 1400 °C was implemented to evaluate the feasibility of LGYYSZ as an optimal ceramic material for thermal barrier coatings (TBCs) of next-generation gas turbines. The results show that the LGYYSZ coating exhibits a stable cubic phase, even after annealing at 1500 °C for 100 h. The CTE of LGYYSZ is slightly higher than that of YSZ. The thermal conductivity of the LGYYSZ coating at 1400 °C is 1.08 W∙m−1∙K−1, which is ~26.5% lower than that of YSZ. The thermal cycling lifetime of the LGYYSZ coating at 1400 °C is 468 cycles, which is ~2.7 times that of the YSZ coating. The longer thermal cycling life of the LGYYSZ TBC can be attributed to the excellent phase stability and lower thermal conductivity.