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CeO2-8YSZ (CYSZ) composite agglomerated powder was synthesized by spray drying of 20% micron-scale CeO2 powder doped with nano-ZrO2-8 mol% Y2O3 (8YSZ) powder. The effect of the binder (carboxymethyl cellulose, CMC) ratio on the properties of the composite agglomerated powder was investigated with the aid of a laser particle size tester, scanning electron microscopy (SEM) and incidental energy spectrometry (EDS). A CYSZ thermal barrier coating with a columnar structure was prepared by PS-PVD, and EDS analysis of the coating cross-section and surface was carried out. X-ray diffraction (XRD) and X-ray photoelectron spectroscopy (XPS) were used to analyze the physical phases of the coating. The results show that agglomerated powder with high sphericity, good flowability and uniform particle size distribution can be obtained with a binder ratio of 2%, the prepared coating has a uniform distribution of Ce element, and the coating phase is basically a t-phase structure, in which Ce4+ replaces Zr4+ and enters into the ZrO2 lattice to form a homogeneous solid solution structure, showing the inhibition of the transition from t-phase to m-phase by CeO2 doping. In addition, the prepared CYSZ coating remained intact after 100 cycles of water cooling at 1100 °C, showing high thermal shock resistance.