CaO–MgO–Al2O3–SiO2 (CMAS) poses a severe challenge to the thermal barrier coatings (TBCs) of aviation engines and has attracted much attention. In this study, nanostructured yttria-stabilized zirconia (NYSZ) and multi-component rare-earth oxides modified zirconia (MSZ) coatings were prepared using atmospheric plasma spraying (APS). The effects of different surface roughness on CMAS wetting and corrosion behaviour of the two types of coatings were investigated by adjusting the surface roughness and conducting CMAS corrosion experiments at 1250 °C. Results revealed that the contact angles between CMAS and the coatings increase with decreasing surface roughness, highlighting the important role of reducing the coating roughness for higher CMAS wettability resistance and corrosion resistance. In addition, MSZ coatings exhibit superior CMAS wettability resistance and corrosion resistance relative to NYSZ coatings due to the smaller specific surface area. These findings provide valuable design guidance for the optimization of the microstructure and composition of TBCs to enhance CMAS corrosion resistance.