The preparation and realization of highly reliable thermal barrier coatings (TBCs) on the internal surface of complex cavities is a bottleneck problem. Traditional coating methods are difficult to deposit and fulfil service requirements. In this study, a novel structure of YSZ and Ce-doped YSZ (CeYSZ) TBCs was prepared by a newly cathode plasma electrolytic deposition (CPED) technology. The results suggested that both the CPED-YSZ and CPED-CeYSZ coatings exhibited porous cross-linked dendritic structures. Because Ce doping significantly improved the phase stability of tetragonal structure and enhanced thermal insulation temperature during a burner-rig test at 1300 °C, resulting in a threefold increase in the thermal cycling life of the CPED-CeYSZ coating compared to the CPED-YSZ coating. This work provided a new strategy for tailoring multiple rare-earth principal components of high-performance TBCs and depositing them on the inner surface of complex cavities with high aspect ratios.