This paper reports studies into the effect of SiC particles on thermal shock resistance of Al 2O 3–20 wt.% 8YSZ coatings fabricated by air plasma spraying. Six kinds of coatings were prepared from nanostructured agglomerated feedstocks. The unmelted particles, molten droplets, voids and microcracks were observed in the ceramic coating. The Al 2O 3/8YSZ coating significantly cracks on the surfaces compared with the coatings containing SiC. The thermal shock test for ceramic coatings was carried out by water quenching method. The metastable phase, solid solution and silicate fibers are formed after plasma spraying and thermal shock cycling. Testing results show that the submicron SiC (average particle size is 3 μm) particles are beneficial to the thermal shock resistance of Al 2O 3/8YSZ coatings with thermal shock cycles of 198 and 216 at 800 °C, but the nano SiC (average particle size is 70 nm) particles are not. The thermal shock resistance of Al 2O 3/8YSZ coatings is increased greatly from 5 to 83 cycles with addition of SiC particles at 1000 °C. The damage process and failure mechanism for the ceramic coatings are different at different thermal shock temperatures. Some silicate fibers were formed on the coating surface and through thickness after thermal shock. The Al 2O 3·xSiO 2 silicate fibers can greatly increase the thermal shock resistance of ceramic coatings. The thermodynamic condition for generating silicate fibers was calculated and analyzed. The failure mechanism, which was investigated and analyzed in terms of microcracks, splat lamellae, formation of debris and silicate fibers, is tilting, spallation, interface delamination and fracture.