The thermal expansion characteristics of MgO partially stabilized zirconia (MgO-PSZ) electrolytes are studied by dilatometric technique. It is found that the phase transformation of MgO-PSZ from monoclinic to tetragonal takes place in two temperature ranges of 460-830 degrees C and 1150-1180 degrees C. The volume shrinkage associated with these phase transformations plays an important role for the thermal shock resistance. With heat-treatment at 1300 degrees C for 2 h and at 1000 degrees C for 6-8 h, the thermal shock resistance of the MgO-PSZ electrolyte tube can be greatly improved.