The effects of microstructures of foam core on the thermal shock strength of the sandwich slabs are investigated by macro-micro analysis. Each slab has two ceramic matrix composite (CMC) face sheets and an open-cell ceramic foam core. Asymmetric thermal shock fracture is evaluated at the macro continuum level. The position of the danger zone varying with the thickness of face sheets is determined. The finite element (FE) model based on 3D Voronoi tessellations consists of a local micro-scale region surrounding the crack tip. For a calculated stress intensity factor in macro model, the displacements along the boundary of the local model are calculated based on linear elastic fracture mechanics. The thermal shock strength of the sandwich structure is found to be dominated by the cell regularity, the cross-sectional shape of the cell struts and the relative density of foam core. The physical mechanisms responsible for those results are identified. The effective methods to improve the thermal shock resistance of the sandwich structures with ceramic foam core are proposed.