Incorporation of carbon nanotubes (CNT) in thermally sprayed ceramic coatings is expected to improve its properties. Three ceramic powders were doped with CNT using three methods, namely, dry mixing, mixing in alcohol and heterocoagulation, a colloidal processing technique. Plasma sprayed coatings prepared from these powders were characterized for their microstructure, phases, retention and distribution of CNT, hardness, porosity, fracture toughness, elastic modulus and ultrafine microstructural features. Raman spectroscopy revealed that the CNT could be protected during plasma spraying with limited damage, and CNT was distributed homogeneously in the coatings produced from the heterocoagulated powders. The coating obtained from the heterocoagulated powder was found to possess the highest hardness and least porosity among the coatings investigated. CNT had been found to bridge the splats and thus, enhance coating cohesion. Compared to pure alumina coatings, heterocoagulated coatings demonstrated around 23% and 20% increase in the indentation fracture toughness and elastic moduli, respectively, with the addition of 1 wt% CNT. Transmission electron micrographs showed the formation of an interlayer in the matrix-CNT interface.