Progress in design of thermal barrier coatings (TBCs) is based upon application of new materials and deposition techniques. In this work traditional NiCrAl bond coat YSZ top coat were deposited on Ni superalloy substrate by inexpensive dry detonation spraying, while finishing layers of oxide nanocomposites (LaAlO3–La2Zr2O7, LaAlO3–LaCuAl11O19) were deposited on YSZ by slip casting. Complex oxides were prepared via Pechini route. Thin (~ 20 μm) finishing layers were deposited by slip casting of suspensions of oxides mixture in isopropanol with addition of polyvinylbutyral. Genesis of the texture, composition and real/defect structure of bulk nanocomposite materials and deposited layers after annealing in air up to 1300 °C as well as after series of thermal shocks by heating up to 1200 °C by H2–O2 burner were studied by combination of diffraction (high resolution SEM and TEM with EDX, XRD on synchrotron radiation) and spectroscopic (UV–Vis, EXAFS, laser-excited Dy3 + luminescence spectra) methods. Thermal conductivity of nanocomposites and TBCs was determined by using NETZSCH LFA 457 MicroFlash. Nanocomposites were shown to retain porosity as well as nanosizes of disordered domains of oxide phases even after sintering at high temperatures. A good adhesion and compatibility of all layers in TBCs were demonstrated, while in general disordering of the oxides structure in deposited layers was higher than that in bulk materials due to the effect of depositing procedure and interaction between layers. This provides a low thermal conductivity of nanocomposites and functionally graded TBC. After 90 thermal shocks neither layers spallation nor cracks were revealed, 8YSZ and finishing layers retaining porosity, nanocrystallinity and disordering required for a low thermal conductivity and cracks trapping.