ZrO2 is a flagship material for the development of efficient thermal barrier coatings not only for aerospace applications but also on steel molds for plastic injection, especially to produce high quality miniaturized parts of low environmental impacts. In the present study, ZrO2 thin films of thicknesses ranging between 4 and 40 μm were deposited on steel substrates by two key gas phase technologies, magnetron sputtering (PVD) and direct liquid injection metal organic CVD (DLI-MOCVD). The film morphology, structure and chemical composition were comparatively investigated and correlated to their heat transfer properties. All films were nearly stoichiometric and presented a columnar structure mainly formed of the monoclinic crystalline phase. The magnetron sputtering coatings were denser and smoother than the CVD ones, for which highly porous tree-like microstructures were observed without degradation of their mechanical properties. All films exhibited efficient thermal insulation properties, the thickest 40 µm magnetron sputtering coating displaying the most significant reduction in heat transfer. The CVD films provided the highest thermal gradient decrease across their thickness, probably thanks to their higher porosity associated to a multi-angle tree-like columnar structure, both acting as scattering zones of phonons involved in heat flow diffusion. By controlling the local deposition conditions influencing the nucleation and growth mechanisms, the film porous microstructure can thus be tuned to optimize the coating thermal properties.