Tungsten and its alloys are considered to be the most nominated plasma-facing materials in fusion reactors, which will be exposed to enormously rigorous conditions such as thermal load, plasma exposure, and neutron radiation. At present, the research on the behavior of oxide particle-reinforced tungsten-based materials under long-term steady-state heat load and transient thermal shock is insufficient. The purpose of this study is to investigate the performance of yttria particle-reinforced tungsten plates prepared by the wet chemical method under heat loads by means of indirect coupling experiments. An Nd:YAG laser device is used to perform thermal shock events. The surface damage and microstructure evolution of rolled and fully recrystallized samples exposed to laser thermal shock are observed and analyzed. The cracking threshold of the rolled and fully recrystallized samples is about 0.40~0.48 GW/m2; the degree of surface damage of them aggravates with the increased laser power density. What is more, cracks or even melting damage could be observed on the surface and be accelerated by the process of recrystallization, resulting in the degradation of the ability to withstand the thermal shock of the material.