Ceramic functional coatings are frequently applied to structure materials in a wide range of mechanical and chemical applications for their specific properties of hardness, passive resistance to chemical aggression and low thermal conductivity. The counter part of those specific properties is a low mechanical and thermal shock resistance. Thus it is of prime importance to investigate the fundamental mechanisms, which governs the failure under thermal shock and thermal cycle conditions to increase the range of reliable industrial applications. The work presented in this paper deals with the Finite Element Modelling [FEM] of the transient thermal fields and associated stresses developed in ceramic coatings during firstly the post deposition cooling step and secondly during thermal cycling conditions. Alumina [Al2O3] and Partially Stabilized Zirconia [PSZ] coatings, which are both widely used in mechanical and chemical industries, are under investigation.