Thermal fatigue properties of DZ40M directionally solidified cobalt-base superalloy was investigated by scanning electric microscope. The results show that the crack propagation rate increases and the thermal fatigue resistance decreases with the rise of the upper temperature. Resistance of thermal fatigue is improved with the holding time prolonging at the same upper temperature, which is caused by the formation of uniform and compact film of oxide on the surface. Due to different thermal expanding coefficients of the matrix and the carbides, crack holes are easily formed in the boundary of the matrix and carbides at alternating temperatures during thermal fatigue; as a result, cracks of thermal fatigue initiate. The interconnection of crack holes makes thermal fatigue crack propagate.