Zirconium oxide (ZrO₂) ceramics are widely used in thermal barrier coatings and high temperature structural parts due to their excellent high temperature performance and thermal insulation characteristics. However, its high temperature phase transition, thermal expansion coefficient mismatch and thermal conductivity increase limit its further application. In order to improve the comprehensive properties of ZrO₂ ceramics, the effects of different CeO₂ doping levels (0-20 wt.%) on the microstructure, mechanical properties, tribological behavior and thermophysical properties of ZrO₂ ceramics were systematically investigated. The sample was prepared by a simple and efficient method of ball milling combined with pressure-free sintering, which has simple process and low cost, and was conducive to achieving the uniformity of composition and controllable microstructure. The results showed that 15 wt.% CeO₂ was the optimal doping concentration. At this time, the density of the material was the highest, and the hardness was 310 HV₁, which was 27.64% higher than that of the undoped sample. The friction coefficient and wear rate were reduced to 0.205 and 1.81×10⁻³ mm³/N·m, respectively, showing the optimal wear resistance. At 1200 °C, the thermal expansion coefficient decreased by 72.21%, and the thermal conductivity decreased to 0.612 W/(m·K). The improved performance was mainly attributed to the solid solution enhancement of Ce⁴⁺, grain refinement and phonon scattering effect of enhanced oxygen vacancy. This study provided an important basis for optimizing the comprehensive properties of ZrO₂ ceramics by component design.