The work aims to investigate microstructure and mechanical behavior at high temperature of thermal barrier coatings (TBCs) by air plasma spraying (APS), and provide theoretical evidences for application and failure mechanism of TBCs on alloy steel. The TBCs of NiCoCrAlY/YSZ were prepared on 30CrMnSiA steel substrate by APS. Failure behavior of TBCs at high temperature was studied by means of such techniques as scanning electron microscope observation, phase analysis, thermal shock test and tensile test. The TBCs prepared by APS on alloyed steel were typical double-layer lamellar structures and YSZ coating had a stable tetragonal phase. Breaking load of the coating samples at 800 ℃ was slightly 10% higher than that of uncoated samples. TBCs exhibited good thermal shock resistance. TBCs remained intact after 10 times of thermal shock test at 900 ℃; TBCs peeled off and failed after 6 times of thermal shock test at 1000 ℃. The peeled-off coating was located between the bonding layer and substrate. The steel substrate was oxidized and corroded during thermal shock cycle. Stress concentration shall occur along edges of the coating samples and then cracks extended from edges to the center, and eventually caused the coating to peel off in bulk. The temperature increased from 700 ℃ to 900 ℃, decrease amplitude of NiCoCrAlY coating hardness was bigger than that of YSZ coatings or 30CrMnSi substrate. Thermal expansion mismatch between bonding layer and alloy steel is the primary cause of coating peeling-off after thermal shock test. Heat insulation effect of the TBCs lowers temperature of the substrate, hence its breaking load is higher than that of uncoated samples.