Amorphous phases are commonly found in nanostructured plasma-sprayed coatings. Nonetheless, the role of these phases in the resulting coatings’ properties has remained uninvestigated until now. In the present work, pseudo-eutectic coatings—based on alumina and 8 wt% yttria-stabilized zirconia (YSZ)—containing amorphous phases are produced using a suspension-plasma-spray process. These composite materials are a potential choice for thermal-barrier coating applications. The role of the amorphous phase on the performance of the coatings is investigated before and after heat treatment. Results show that, although the amorphous phases in untreated coatings reduce the thermal conductivity, they impair the mechanical properties. However, treatment above the crystallization temperature leads to better mechanical properties as well as enhanced high-temperature stability of the resulting nanostructure. Moreover, the role of alumina as a stabilizer of high-temperature YSZ phases (tetragonal and cubic) is confirmed and the high-temperature phase stability of the alumina–YSZ composite is demonstrated. The amorphous phases are found to crystallize into their corresponding high-temperature stable phases; i. e., α-alumina and tetragonal zirconia.