Thermal barrier coatings (TBCs) with a double columnar crystal structure of CoCrAlY/YSZ, prepared using electron beam physical vapor deposition (EB-PVD), were applied to turbine blades and tested in real gas turbine conditions. This study investigates their failure mechanisms under both actual operating conditions and simulated external loads, using three-point bending tests. The performance of full-sized, TBC-coated blades was analyzed through finite element modeling, while the thermomechanical and mechanical properties of the coatings after service were measured to support the simulation and provide insights into the failure processes. A new degradation mode, characterized by penetration cracking, was observed in the EB-PVD coatings. This behavior is linked to the columnar grain structure of YSZ and CoCrAlY, lower operational temperatures, and the reduced thickness of the YSZ layer. Surface cracks in the YSZ coating primarily occurred in regions with large curvature, where stress concentrations are higher. This study offers new insights into the failure modes of TBCs under real gas turbine operating conditions.