Al/Ni-ZrO2 gradient thermal barrier coatings are made on aluminum substrate using plasma spraying method and one direction thermal shock properties of the coatings are studied in this paper. The results show that pores in coatings link to form cracks vertical to coating surface. They go through the whole ZrO2 coating once vertical cracks form. When thermal shock cycles increase, horizontal cracks that result in coatings failure forms in the coatings and interface. And vertical cracks delay appearance of horizontal cracks and enhance thermal shock property of coatings. Failure mechanisms of coating thermal shock are discussed using experiments and finite element method.