Melt-grown oxide eutectic ceramics are well known for their excellent mechanical properties and microstructural stabilities at ultra-high temperatures. Laser powder bed fusion (LPBF) provides a novel technology for manufacturing materials with large sizes and complex structures. However, crack controlling is a serious challenge in this process owing to the intrinsic brittleness of ceramic materials. In this study, LPBF method is applied to fabricate Al2O3/GdAlO3/ZrO2 ternary eutectic ceramics assisted by a finite element method (FEM) to investigate an optimized process and innovatively reveal the crack formation mechanism and propagation behavior via a single track, a single layer, and multilayers. Temperature and thermal stress distributions under different process parameters are obtained. The maximum tensile stress σy (in front of and behind the edge of the molten pool) perpendicular to the scanning direction induces a longitudinal crack, the tensile stress σx (at the side rim of the molten pool) parallel to the scanning direction induces a transverse crack, and the shearing stress on the XY plane promotes the deflection of the transverse crack on one side of the single track. In the multilayer, the maximum principal stress occurs at the margin zone of the deposition. The maximum principal stress increases at the first three layers and then decreases after the fourth layer. Based on the simulation result, the as-solidified Al2O3/GdAlO3/ZrO2 eutectic ceramics with multiple shapes, such as cylindrical, cubic with round corners, triangular prism, and quadrangular, with dimensions of 30 mm (width or diameter) × 30 mm (length or diameter) × 1 mm (height) and ultra-fine eutectic microstructures (eutectic spacing of approximately 88 nm) are fabricated by LPBF, providing a significant potential to overcome the bottleneck for fabricating large-size and complex-structure ceramics directly in a single-step process. This work provides theoretic foundation and technical support for preparation of ultra-high temperature solidified oxide eutectic ceramics with ultra-fine microstructures and complex structures directly, which has great application potential in fields as aerospace, machinery, and chemical industry.