Thermal barrier coatings (TBCs) suffer from the thermo-chemo-mechanical coupling action of thermal shock and calcium–magnesium–alumina–silicate (CMAS) corrosion. However, the failure mechanism of TBCs under the synergistic effect of thermal shock and CMAS corrosion is still unclear due to a lack of an environmental simulator. Herein, an 8YSZ ceramic coating is deposited on a PtAl bond coating/DD419 nickel-based single crystal superalloy substrate using the electron beam physical vapor deposition (EB-PVD) method. The thermo-chemo-mechanical coupling effect of TBCs is achieved in a self-developed environmental simulator. The interaction of volume expansion induced by the phase transition of ZrO2, structural degradation and thermal fatigue further increases the out-of-plane tensile stress and in-plane shear stress in the ceramic coating, which accelerates the initiation and propagation of surface vertical cracks and horizontal cracks. As multiple surface vertical cracks propagate to the interface and merge with interfacial cracks, the ceramic coating spalls from the substrate.