Thermal shock resistance property and failure mechanism of plasma sprayed ZrO 2 NiCoCrAlY thermal barrier coatings were studied in this paper. The test results show that retardation of thermal shock crack initiation and propagation and higher thermal shock resistance property were displayed in graded thermal barrier coating. The thermal shock crack initiation and propagation take place mainly at the interface between the NiCoCrAlY bond layer and substrate. However, with the increase of thermal cycles, the thermal shock crack will be formed inside top ceramic layer and at the interface between top ceramic layer and graded layer. The experiment results demonstrate that the failure process of thermal barrier coating mainly goes through crack formation, propagation and spallation of coating, whereas, the oxidation of bond coat is the main cause of coating spallation.