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Thermal barrier coatings (TBCs) are of great interest in increasing the service temperature and improving the efficiency of aircraft engine. In this study, the GdDyZrO and YSZ were deposited by electron beam-physical vapor deposition. The effect of Dy stabilization on phase structure, thermal expansion coefficient and failure behaviors has been characterized and investigated in detail. The TBCs exhibit high thermal expansion coefficient and good thermal cycling life at 1100 °C. The lager amount of cracks are detected in thermally grown oxide layer in the end. The thickness of thermally grown oxide reaches approximately 20 µm. The interface instability in TBCs system might be relevant with failure behaviors of TBCs.