Excellent thermal shock resistance is required for thermal protection coatings experiencing high/low temperature cycles. In this paper, the pure ceria oxide coatings were deposited by electron beam physical vapor technique at different power densities. The grain orientation, morphology, hardness and thermal cycling oxidation behavior of CeO2 coatings were systematically studied. The deposition power density has remarkable influence on the preferred crystal orientation and morphology of the coatings. The heating–cooling test cycles from 1000 °C to room temperature indicate that the CeO2 coatings with the columnar structure show excellent thermal shock resistance. The hardness of the CeO2 coating varies with thermal cycling.