Oxygen sensors having a fine-grained stabilized cubic zirconium dioxide electrolyte contact respective electrodes. The zirconium dioxide contains between 15% and 50% by volume of Al.sub.2 O.sub.3 in a crystalline state and has good mechanical and thermal properties. The oxygen sensor may have a composite zirconium dioxide solid electrolyte element. The invention also includes a wider range of related Al.sub.2 O.sub.3 - containing stabilized cubic zirconium dioxides containing between about 8% and 85% by volume Al.sub.2 O.sub.3. The invention further provides methods of manufacturing such Al.sub.2 O.sub.3 - containing zirconium dioxide and for manufacturing oxygen sensors.