Infrared windows such as sapphire, aluminum oxynitride (AlON) and zinc sulfide (ZnS) have excellent optical properties, but restricted for application due to low thermal conductivity (<30 W/m °C). Diamond could provide a solution for overcoming the problems due to ultrahigh thermal conductivity (~2000 W/m °C). In this paper, a finite element simulation software (ANSYS) was used to simulate the thermal shock behavior of the infrared materials and their composite with diamond coatings (0–0.04 mm in thickness). The performance in an extremely hot environment was simulated by analyzing the thermal distribution, temperature uniformity, and central stagnation temperature. A constant heat flow of 0.5 MW/m2 was applied to investigate the influence of coating thickness on thermal transfer. The results showed that the central stagnation temperatures of the single sapphire and the corresponding composite windows were the lowest. Temperature difference of the windows was mainly determined by the intrinsic thermal parameters, which became narrow with the increase of diamond thickness. Thermal stress and deformation of diamond films and the substrates were calculated and the results indicated that the diamond film can significantly improve the structural stability of these windows. For single diamond windows (1–5 mm in thickness), ultralow central stagnation temperatures of ~86–226 °C were obtained even at ultrahigh heat flux of 2.0 MW/m2. Diamond film could greatly help to decreasing central temperature and improving the thermal uniformity. Related research could provide theoretical reference for the design and application of the “heat free” infrared window.