Bulk samples of a novel cermet (ceramic/metal composite) hydrogen transport membrane (HTM) were subjected to thermal cycling in the temperature range between 25-850°C to study phase transformations and microstructural changes under thermal shock. Scanning electron microscopy (SEM) and electron probe micro analyzer (EPMA) with energy dispersive spectroscopy (EDS) were used to characterize the microstructural and chemical changes in the membrane upon thermal cycling. SEM & EPMA analyses indicated that the temperature gradient during thermal cycling produced more micro-cracks inside the HTM disc, whereas, the chemical reaction between Pd and oxygen to form PdO disturbed the continuity of the metal palladium (Pd) - Yttria Stabilized Zirconia (YSZ) dual phases interconnection system from surface down. The agglomerates of un-crystallized YSZ grains found to be the inherent in the cracks of the as-received HTM. A combination of trans-granular and inter-granular crack propagation results around the YSZ grains and the new precipitates. Based on the electron fractography analyses by both SEM and EPMA, the micro voids coalescence develops ahead of the crack tips in the cross-section of the HTM after 500 thermal cycles.