A thermal shock experiment is designed to explore the thermal shock properties of ceramic/metal gradient thermal barrier coating. The specimens are heated up by oxygen-acetylene flame and cooled by water spray. The experiment procedure includes two stages, heating the specimen from the initial temperature 30°C for 40s, and then cooling for 20s. The heat transfer and the associated thermal stresses produced during the thermal shock procedure are simulated by finite element method. Experimental results indicated that the specimen of gradient coating behaves better in thermal shock experiments, which agree with the results of simulation.