In order to prevent water from entering the porous Si3N4 ceramics, α-Si3N4 whiskers toughened γ-Y2Si2O7 coatings were prepared by a liquid infiltration and filling method. Effects of α-Si3N4 whiskers content on the microstructure, waterproof performance, mechanical properties and thermal shock behavior of the ceramic coatings were systematically studied in this paper. Results indicated that the addition of whiskers could effectively improve the performance of the coatings under thermal shock due to the toughening mechanism of whiskers including crack deflection, whisker bridging, whisker pulling out and other energy dissipation processes. The coating with a α-Si3N4 whisker/γ-Y2Si2O7 mass ratio of 1/9 possessed a flat, dense and defect-free surface microstructure. After five thermal cycles under a thermal shock temperature difference of 1200 °C, water absorption of the coating increased slightly from ~3.2% to ~6.0%. The whisker reinforced coating is promising to be used for high temperature wave-transmitting materials in long-time service.