Mullite coating and mullite/ZrO₂ (10 and 20 vol%) composite coatings were fabricated by atmospheric plasma spraying technique and their thermomechanical properties and thermal cycle resistance were analyzed in detail. Results show that the as-sprayed coatings consist of crystalline and amorphous phases, but isothermal heating at 1000 °C can promote crystallization, thereby resulting in increased hardness and elastic modulus. The addition of ZrO₂ in the coating composition changes the mullite crystallization behavior and increases the coefficient of thermal expansion (CTE) for heat-treated coatings. Below 1000 °C, all the coatings show low thermal conductivity in the range of 0.9–1.7 W m⁻¹ K⁻¹, whereas it sharply increases at higher temperature because of the crystallization and formation of cracks. Owing to the increase of the CTE of the composite coatings, their thermal cycling performance improved significantly.