The work aims to investigate the damage behavior of thermal barrier coating system (TBCs) during the thermal shock. The temperature-dependent failure energy density criteria was deduced based on the energy storage limitation of material for plane complex stress condition. With the criteria and ABAQUS finite element software, thermal shock damage behavior of raised TBCs in the thermally grown oxide (TGO) was studied. The distribution of failure energy density in top-coat (TC) and TGO during cooling thermal shock was calculated for the raised TBCs in TGO and the damaged location of each layer in TBCs during the thermal shock was analyzed according to the maximum failure energy distribution. The obtained results agreed well with the experiment results. Furthermore, the simulation of thermal shock damage evolution behavior for TBCs showed that vertical cracks growth towards inside layer could be produced in TC under thermal shock when the strength of TC was relative lower. However, the firstly damaged location could change to the interface between TGO and BC (bond-coat) from the upper surface of TC when the strength of TC reached a certain value. The damage order of each layer in TBCs changed. Therefore, the failure energy density criteria is more accurate to characterize the thermal shock damage behavior of TBCs than the stress of one direction and can also determine the exact location of damage initiation and the evolution of damage, thus revealing the thermal shock failure for TBCs comprehensively.