This paper examines the performance and failure mechanisms of atmospheric plasma sprayed (Gd, Yb)-doped YSZ (RYSZ) thermal barrier coatings (TBCs) under oxy-acetylene flame thermal shock conditions. The study involved cyclic thermal shock testing at temperatures of 1400 °C, 1500 °C, and 1600 °C for 10-min intervals until failure occurred, with failure counts recorded as 6, 2, and 2, respectively. During the thermal shock tests, tensile stress in the top coat (TC) caused vertical cracks. The growth of the thermally grown oxide (TGO) layer concentrated stress at the top coat/bond coat interface, leading to transverse interfacial cracks. As the shock temperature increased, the density of vertical cracks and the length of transverse interfacial cracks also increased. Additionally, transverse cracks developed in the TC due to sintering of the surface region at higher shock temperatures. The interaction between vertical and transverse cracks was critical to the spalling of the TC. Variations in crack densities and lengths resulted in different failure modes of the TBCs, depending on the thermal shock temperatures (1400 °C, 1500 °C, and 1600 °C).