The thermal shock behavior of molybdenum disilicide (MoSi₂)/molybdenum (Mo) coating and the crack propagation were evaluated by heating the coating to 1000 °C, and then cooling it down to room temperature under the protection atmosphere of hydrogen during the thermal shock cycle. Meanwhile the thermal stress distribution of MoSi₂/Mo coating during thermal shock was calculated by Abaqus software. The development process of crack during thermal shock cycles was discussed. The results show that there is a high thermal shock stress between the Mo substrate and MoSi₂ coating, which can lead to the crack initiation and propagation. According to the extended finite element simulation results, the cracks appear perpendicular to the interface during the first ten thermal shock cycles, while the coating is still well bonded with the substrate and shows no signs of crack along the interface. The interfacial crack appears in the subsequent thermal shock cycles. The interfacial crack begins at the end zone of the vertical crack. When the vertical crack and the interfacial crack converge, the coating peels off and the coating failure occurs.