Applications of praseodymium doped ceria (PDC) in solid oxide fuel cells require a deep insight into the thermal expansion, stresses, and ionic conduction. Nonetheless, the investigation of thermo-mechanical properties and oxygen vacancy diffusion remains incomplete. Based on free Helmholtz energy, we formulate analytical expressions to directly connect thermal expansion coefficient, elastic moduli, oxygen vacancy–dopant binding and oxygen vacancy migration energies by employing statistical moment method (SMM). The SMM calculations capture the full anharmonicity of lattice thermal vibrations. Our analyses report the significant influences of temperature and dopant content on the thermal expansion coefficient, bulk and Young’s moduli, oxygen vacancy–dopant binding and oxygen vacancy migration energies, and ionic conductivity. The role of Pr dopant on the oxygen vacancy diffusion is fully described by combining the symmetric energy profiles related to blocking effect and asymmetric energy profiles generated from trapping effect. By switching van der Waals (vdW) forces on and off in the SMM calculations, we first show that the vdW forces cause a positive effect on the mechanical properties but reduce the thermal expansion and resist the oxygen vacancy diffusion. Our findings are discussed concerning the results from other calculations and experiments in the literature. The insights on the thermo-mechanical properties and oxygen vacancy diffusion for PDC crystal can be generalized and applied to other ceramic materials that are essential for solid state batteries.