Alumina and zirconia are important materials for energy and optical applications. In this study, the effect of thermal cycling on grain size and residual stress was reported. Residual stress was measured using X-ray diffraction (XRD) sin2ψ method for the as-received and the samples after thermal cycling up to 900 cycles. For alumina, the measured residual stress is approximately 96 MPa in tensile for the as-received material, and increases to its highest value of 480 MPa after 650 thermal cycles. The residual stress decreases from 480 MPa to 96 MPa in tensile with increased thermal cycling from 650 to 900 cycles. The crystallized grain size calculated from the diffraction pattern shows that the mean crystallized grain size is about 93 nm for the as-received and increases to 232 nm after 650 thermal cycles. This result is consistent with the enlarged grain size observed by scanning electron microscopy for the alumina after 650 thermal cycles reported earlier. With continued thermal cycling up to 900 cycles, the crystallized grain size is greatly reduced to 104 nm. It suggests that evolution of the crystallized grain size is correlated with the residual stress. For yttria-stabilized tetragonal zirconia (Y-TZP), the mechanical properties at room temperature, are consistent with the property values provided by the manufacturer. The Young’s modulus of shows a non-linear inverse relationship with increasing temperature. The degradation of the Young’s modulus mostly occurs prior to 400 °C and to a less extent in the temperature range of 400 °C up to 850 °C. The Vickers hardness number for the as-received Y-TZP material decreases to a very small extent after 560 thermal cycles and increases approximately 2%, after 1200 thermal cycles. This is consistent with the trend of the Young’s modulus for thermal-cycled specimens.