The development of thermal/environmental barrier coatings (T/EBCs) is significantly constrained by the stringent material requirements for their topcoats. This study explores the implications of hafnium oxide (HfO₂) doping on the crystal structure and thermophysical properties of high-entropy (Y_0.25Ho_0.25Er_0.25Yb_0.25)₂O₃ oxide, with the goal of designing and selecting novel topcoat materials. (RE_1−xHf_x)₂O_3+xX_1−x (RE = Y_0.25Ho_0.25Er_0.25Yb_0.25; X = oxygen vacancy) coatings with 5, 10, 20, and 50 mol% hafnium oxide were deposited by atmospheric plasma spraying (APS). Systematic investigations were conducted on their hardness, Young’s modulus, phase composition, phase stability, thermal conductivity, and coefficient of thermal expansion. At lower HfO₂ doping contents (5–20 mol%), the (RE_1−xHf_x)₂O_3+xX_1−x coatings retained the bixbyite structure, whereas the higher HfO₂ doping level (50 mol%) induced a phase transition to the fluorite structure. The structural evolution is attributed to the ordered arrangement of oxygen anions and vacancies in the crystal structure, which enhances the phase stability and simultaneously reduces the thermal conductivity but increases the hardness, Young’s modulus and thermal expansion coefficient. The thermophysical properties of the (RE_1−xHf_x)₂O_3+xX_1−x coatings were strongly dependent on the HfO₂ doping content. The establishment of composition–structure–property relationships in the (Y_0.25Ho_0.25Er_0.25Yb_0.25)₂O₃–HfO₂ system provides critical insights for the optimization of T/EBC materials in extreme environments.