Fusion energy is expected as a promising candidate for alternative next generation energy. For fusion reactor, the plasma facing components (PFCs) are the most critical components to achieve this goal. PFCs will suffer severe thermal shock due to repective cyclic high heat flux (HHF) loads. This paper investigates the effects of thermal shock and damage behavior of tungsten armored PFCs under steady, transient and combined thermal loads. The distribution of stress field is analyzed, and crack initiation is predicted using the extended finite element method (XFEM). The unique features of thermal-mechanical behavior of tungsten armored PFCs under simulated service condition are discussed. The dominant factor of the cracking of the tungsten armor is the brittleness of tungsten below ductile-to-brittle transition temperature (DBTT). Under the steady loads, the cracking position is apt to near the interface of tungsten armor and the interlayer, and the threshold of cracking is between 14 MW/m2 and 16 MW/m2. With 6 MW/m2 steady loads, applying 1 ms duration of transient load, the cracking threshold is between 0.2 GW/m2 to 0.4 GW/m2. The depth of cracking increases from 100 um to 500 um with the transient load increasing from 0.4 GW/m2 to 1.0 GW/m2. Researches are useful for the design and structural optimization of tungsten-armored PFCs, and the long-term stable operation of further reactor.