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Advanced thermal barrier coatings (TBCs) have got an increasing number of attention in advanced aero-engine. The thermal cycling life and failure behavior still remain a big challenge under high temperature. This work focuses on the microstructure, element diffusion, and cracks evolution of the LaGdZrO/YSZ (LGZ/YSZ) double ceramic layers (DCL) TBCs. Characterizations mainly include X-ray diffraction (XRD), scanning electron microscope (SEM), energy dispersive spectroscopy (EDS), transmission electron microscopy (TEM) and electron probe micro-analyzer (EPMA). The LGZ/YSZ DCL TBCs exhibit good thermal shock life and thermal cycling life. Element diffusion is investigated in detail, which is relevant with crack formation and propagation. After thermal cycling test, the failure regions mainly occur on the cracks regions and the interface regions. The interface instability plays a critical role on the failure behavior of LGZ/YSZ DCL TBCs.