Yb2O3–Y2O3 co-doped strontium zirconate coatings (Sr(Zr0.9Yb0.05Y0.05)O2.95) were investigated as promising materials for thermal barrier coating (TBC) applications. Two types of Sr(Zr0.9Yb0.05Y0.05)O2.95 coatings prepared under suitable atmospheric plasma spraying parameters have low thermal conductivity, approximately 0.60 W m−1 K−1 at 1100 °C. The low thermal conductivities of these two coatings can be attributed to their microstructures, such as small grain size, solid solution, and special grain boundary structures. In both Sr(Zr0.9Yb0.05Y0.05)O2.95 coatings, Yb3+ and Y3+ ions aggregated at the grain boundaries, hinder grain growth and reduce grain size. The rare-earth element distribution and transmission electron microscopy analysis of the coatings indicated that the dopant atoms replaced some of the Zr4+ ions at the grains and grain boundaries, successfully introducing oxygen vacancies and strain fields. These are two important reasons for the low thermal conductivity of Sr(Zr0.9Yb0.05Y0.05)O2.95 coatings. In addition, the lower thermal conductivity of the Sr(Zr0.9Yb0.05Y0.05)O2.95-B coating is attributed to the presence of wider grain boundary structures composed of tightly packed nanocrystals.