Tension-compression tests at high temperature were carried out on the specimens made of Ni based superalloys (DZ125 alloy) coated with bond coating (NiCoCrAlY) and zirconia ceramic coating by electron beam-physical vapor deposition(EB-PVD). Failure of the thermal barrier coatings (TBC) was investigated. The test results show that the failure of TBCs occurred from the initiation and expansion of fracture in TGO,differing from under thermal loading alone. There are two kinds of fracture cracks: initiating from the TGO/bond coat interface and the bond coat/diffusion coat,respectively,resulting in the failure of specimens at last. From the simulation results by finite element analysis (FE),it can be conclude that there are abrupt changes of stress state and value near the interfaces of TGO/TBC and TGO/bond coats. The abrupt change of radial stress would result in the failure of TBCs from the spallation of interface. The abrupt change of axial stress would accelerate the extension of the microcracks perpendicular to the interface,resulting in the rupture of specimens.