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Self-made agglomerated nanometer CeO2-Y2O3-ZrO2 (CYSZ) powders for plasma spray–physical vapor deposition (PS-PVD) were prepared by spray-drying, followed by calcination treatment at four different temperatures (600 °C, 700 °C, 800 °C, 900 °C). The physical properties, microstructure, and phase composition of the calcined powders were investigated using a laser particle size analyzer, scanning electron microscopy (SEM), and X-ray diffraction (XRD). The results showed that compared to the agglomerated powders obtained through spray-drying, the particle size of the agglomerated powders changed with increasing calcination temperature, accompanied by an increase in the self-bonding force of the agglomerated powder particles. The proper calcination temperature improved the sprayability of the powders. Additionally, with the increase in the calcination temperature, a transformation from the m-phase to the t-phase occurred in the powder, with Ce4+ partially entering the Zr lattice to form the t-Zr0.84Ce0.16O2 phase, which facilitated the suppression of the m-phase and improved the high-temperature phase stability. It was also found that the PS-PVD coatings prepared using the aforementioned powders exhibited coarser columnar structures with increasing powder calcination temperature.