Nanostructured materials have attracted great interest in engineering applications, especially in thermal barrier coating. As the operating temperature of next generation aero-engines raises dramatically, new challenges are posed to thermal insulation and lifespan of current thermal barrier coating (TBC) systems. Therefore, it is of great importance to develop higher performance nanostructured thermal barrier coating. Pointing at the nanostructured thermal barrier coating, this work evaluated the whole life cycle of coating materials-coating preparation-failure mechanism-performance improvement. Firstly, as candidates for next generation nanostructured thermal barrier coating materials, perovskite, pyrochlore, magnetoplumbite, and high-entropy ceramics were emphasized. Different preparation methods of nano-coatings, the advantages and disadvantages as well as applicability were introduced. The failure mechanisms of nano thermal barrier coating systems were further revealed, including residual stress, sintering failure, erosion and corrosion cracking, and thermally-grown oxide (TGO) growth. Finally, performance improvement strategies were proposed to provide a theoretical basis and contribute to the development of advanced gas turbines.