Thermal barrier coatings (TBCs) comprised of 92 wt.% ZrO2 and 8 wt.% Y2O3 (YSZ); CoNiCrAlY bond coat were deposited by an Air Plasma Spraying (APS) technique. The thermal shock resistance of the TBCs was tested under high temperature wind tunnel. The influence of the high temperature oxidation treatment on the thermal shock resistance of the TBCs was also studied. The results showed that, the TBCs deposited by APS had a good property of thermal shock resistance after 100 cycles. The coating was unabridged and combined well with the substrate, with no spallation of large areas occurring. While the specimens after high temperature oxidation treatment showed poor thermal shock resistance.