Microstructure and compressive stress in thermal growth oxide (TGO) of Pt-modified aluminide coating on nickel base superalloy CSMX4 for thermal barrier coating (TBC) application after discontinuous oxidation at high temperature in air have been studied. Using a micro Raman instrument technology, photo-stimulated-luminescence-spectra (PSLS) of θ- and α-Al2O3 formation are obtained for Pt-modified aluminide coating after 20 h oxidation exposure at 900 °C in air; however, a compact and protective α-Al2O3 layer is formed over the coating at 1100 °C in air. Thermal growth stress in α-Al2O3 was calculated according to the spectra shift compared with stress-free alumina spectra, a little higher than 3.0 GPa for TGO in TBC system after oxidation exposure. The stress within “ridges” of alumina surface over the coating is lower due to cracks’ formation during high temperature oxidation. Alumina rumpling is obvious for Pt-modified aluminide coating due to absence of ceramic layer. At the same time, Al element’s quick diffusion along substrate grain boundary results in more γ′-Ni3Al phase formed along boundary during oxidation. Coefficient of thermal expansion for the coating is changed with phase transformation from β-NiAl to γ′-Ni3Al, and finally affects the stress in TGO and coating lifetime during high temperature oxidation.