Y₂O₃-coated MgO: Ce⁺³ particles with different precipitants were prepared by the co-precipitation method; the phase and morphology of the sample were characterized by XRD, TEM, and DTA-TG, and the apparent activation energy of the coated particles was studied by thermal analysis kinetics. The results showed that the precursors synthesized by single-phase and multi-phase precipitants were calcined at 1000 °C for 1.5 h to obtain Y₂O₃-coated MgO: Ce⁺³ particles with coating thicknesses of about 2.5 nm and 5 nm. The apparent activation energies of the precursor phase change in three stages were calculated using the Doyle–Ozawa method and the Kissinger method. The average values for single-phase samples were 95.61, 74.90, and 275.27 kJ/mol, while those for multi-phase samples were 74.90, 56.06, and 240.14 kJ/mol. The activation energies for the grain growth of the two samples were 30.56 kJ/mol and 26.27 kJ/mol. Due to the differences in activation energies at each reaction stage, the reason for the influence on the thickness of the coating layer of the two precipitants is that the smaller the activation energy, the lower the required synthesis energy. An increase in coating thickness indicates an improvement in the surface activity of the coated particles. Moreover, the luminescence intensity of the composite sample is significantly higher than that of the single-phase sample, and the luminescence performance is optimal when the Ce⁺³ ion in the composite sample is 0.3 mol%.