To improve the high-temperature thermal shock performance, the Si-Ti-Cr silicide coatings were prepared on Nb-Hf alloy by slurry sintering and high-temperature permeation methods. The high-temperature thermal shock performance of Si-Ti-Cr silicide-coated Nb-Hf alloys in atmosphere and vacuum was comparatively analyzed. The failure mechanism of Si-Ti-Cr coating in atmosphere and vacuum after thermal shock tests was determined by simulating the temperature and thermal stress distributions of the coating during thermal shock. Results show that the mass loss of the coating in vacuum is less than 0.8 mg/cm² after 100 thermal shock cycles at 1300 °C. The mass gain of the coating in atmosphere is less than 3 mg/cm² after 200 thermal shock cycles at 1600 °C. Therefore, the silicide coating exhibits excellent thermal shock resistance at 1300 °C in vacuum and at 1600 °C in atmosphere.