Yttrium-stabilized zirconia thermal barrier coatings (TBCs) of combustion chambers and piston crowns are used most frequently to increase the chamber temperature and the internal combustion engine efficiency. The development of multilayer metal matrix composite coating is of great importance to diminish the ceramic thermal barrier coating’s brittleness and susceptibility to degradation providing the similar thermal insulation. Our group is developing multilayer TBCs based on intermetallic (Fe-Al) compounds combined with alternating zirconia-based layers made by low-pressure cold spraying (LPCS) and sintering. The Fe-Al intermetallic phase was synthesized during reaction sintering of stainless steel and Al particles in the powder layer previously obtained by cold spraying. A double-nozzle low-pressure cold-spraying gun was used to deposit two layers (stainless steel and Al-YSZ) per one track. The effect of the breaking of the brittle ZrO2 particles due to impingement with the substrate results in the formation of a relatively homogeneous structure with ZrO2 particle size of 3–10 μm. Cold-spray deposition of additional Cu-Ni-Graphene catalytic layers on the TBCs is developed to improve performance and emissions of engines. The microstructure, thermal conductivity, thermal shock behavior and microhardness of TBCs were examined and discussed.