Methods for fabricating protective coating systems for gas turbine engine applications are provided. An exemplary method of applying a protective coating to a substrate includes the steps of providing a substrate formed of a ceramic matrix composite material, forming a first coating layer directly on to the substrate and comprising an oxygen barrier material, a compliance material, or a bonding material and forming a second coating layer directly on to the first coating layer and comprising a thermal barrier material. The method optionally includes forming a third coating layer partially directly on to the second coating layer and partially within at least some of the plurality of pores of the second coating layer.