To reveal the thermal shock resistance of double-layer thermal barrier coatings (TBCs), two types of TBCs were prepared via atmospheric plasma spraying, i.e., Gd2Zr2O7/yttria-stabilized zirconia (GZ/YSZ) TBCs and La2Zr2O7 (LZ)/YSZ TBCs, respectively. Subsequently, thermal cycling tests of the two TBCs were conducted at 1100 °C and their thermal shock resistance and failure mechanism were comparatively investigated through experiments and the finite element method. The results showed that the thermal shock failure of the two TBCs occurred inside the top ceramic coating. However, the GZ/YSZ TBCs had longer thermal cycling life. It was the mechanical properties of the top ceramic coating, and the thermal stresses arising from the thermal mismatch between the top ceramic coating and the substrate that determined the thermal cycling life of the two TBCs together. Compared with the LZ layer in the LZ/YSZ TBCs, the GZ layer in the GZ/YSZ TBCs had smaller elastic modulus, larger fracture toughness, and smaller thermal stresses, which led to the higher crack propagation resistance and less spallation tendency of the GZ/YSZ TBCs. Therefore, the GZ/YSZ TBCs exhibited superior thermal shock resistance to the LZ/YSZ TBCs.