Thermal shock resistance is a critical parameter for evaluating the long-term service reliability of protective coatings in high-temperature molten-salt environments. In this study, Al₂O₃–Y₂O₃ composite coatings containing 0, 2, 5, and 8 wt.% Y₂O₃ were fabricated on 316L stainless-steel substrates by atmospheric plasma spraying (APS). Their phase constitution, microstructure, mechanical properties, and thermal shock resistance were systematically investigated. The results showed that, with increasing Y₂O₃ content, the relative content of α-Al₂O₃ gradually increased, whereas the coating densification, microhardness, and fracture toughness first increased and then decreased. After 200 thermal shock cycles, the thermal shock resistance of the Al₂O₃–Y₂O₃ composite coatings followed the order of 5 wt.% Y₂O₃ > 2 wt.% Y₂O₃ > 8 wt.% Y₂O₃ > 0 wt.% Y₂O₃, indicating that the addition of an appropriate amount of Y₂O₃ significantly improves the thermal shock resistance of the coatings. Analysis of the failure mechanism further revealed that the addition of an appropriate amount of Y₂O₃ enhanced phase stability and optimized the coating microstructure, thereby improving the crack-propagation resistance and ultimately enhancing the thermal shock resistance. In contrast, excessive Y₂O₃ weakens this beneficial effect because of increased microstructural heterogeneity and a higher defect density.