The cyclic oxidation experiment of yttria-stabilized zirconia coatings deposited on NiCoCrAlYHf alloys by air plasma spraying was investigated at 1050 °C in air and in air containing water vapor. The results revealed that water vapor has a great influence on the oxidation resistance of the thermal barrier coatings (TBCs). Compared with the samples oxidized in air atmosphere, TBCs oxidized in air containing water vapor had a longer lifetime. It was also found that different atmospheres could lead to different HfO2 formation positions, which could decrease the rumpling in the oxide layer. In particular, after the coatings on Hf-doped NiCoCrAlY were first pretreated in air containing water vapor for 24 h at 1050 °C, the lifetime of the pretreated coating was doubled compared to the coating in laboratory air only. The water vapor pretreatment of the coatings could be an important method for optimizing the lifetime of TBCs.