Yttria-stabilized zirconia (YSZ) thin nanocrystalline coatings at different substrate preheating temperatures were deposited via electron beam-physical vapour deposition (EB-PVD). Nanocrystalline ZrO2-Y2O3 was deposited on the bond coat in order to compensate for the coefficient of thermal expansion (CTE), which can be functionalized as a thermal barrier coating (TBC). The aim of this study was to evaluate mechanical properties with respect to adhesion of zirconia nanocrystalline’s top ceramic layer to the interfacial bond coat by utilizing micro and nano indentation tests. In the present paper, the structural studies were carried out using X-ray diffraction (XRD) analysis of coating content (8 mol% of Y2O3). The tetragonal phase of stabilized zirconia was observed. Field emission scanning electron microscopy (FESEM) and atomic force microscopy (AFM) were employed to characterize the coatings’ morphology and microstructure. The mechanical behavior of ZrO2-Y2O3 thin films under point loading conditions was studied by nanoindentation using a Berkovich indenter with 130 nm tip radius. Therefore, adhesion of top coat to the interfacial underlying metallic bond coat known as MCrAlY (M = Ni, Co) was estimated according to the highest peak load tests; for a 120 mN peak load, the film manifested tolerable adhesion properties. Moreover, nanoindentation of ZrO2-Y2O3 nanostructure deposited at 1050 °C substrate preheating temperature produced the highest hardness value of about 21.7 GPa. Vickers micro hardness was utilized with the aid of the Tabor equation in order to achieve deeper insight into the correlation between adhesion and deposition process parameters.