Microstructure dependence of effective thermal conductivity of the coating was investigated to optimize the thermal insulation of columnar structure electron beam physical vapor deposition (EB-PVD coating), considering constraints by mechanical stress. First, a three-dimensional finite element model of multiple columnar structure was established to involve thermal contact resistance across the interfaces between the adjacent columnar structures. Then, the mathematical formula of each structural parameter was derived to demonstrate the numerical outcome and predict the effective thermal conductivity. After that, the heat conduction characteristics of the columnar structured coating was analyzed to reveal the dependence of the effective thermal conductivity of the thermal barrier coatings (TBCs) on its microstructure characteristics, including the column diameter, the thickness of coating, the ratio of the height of fine column to coarse column and the inclination angle of columns. Finally, the influence of each microstructural parameter on the mechanical stress of the TBCs was studied by a mathematic model, and the optimization of the inclination angle was proposed, considering the thermal insulation and mechanical stress of the coating.