A functionally graded thermal barrier coating (FG-TBC) of CeO2-Y2O3-ZrO2/NiCoCrAlY was prepared using a recently developed supersonic plasma spray (S-PS) system. The system had dual powder feed ports through which the metal alloy powders were fed into the lower temperature region of the plasma plume, to prevent over oxidation, and the ceramic powders were fed into the high temperature region, to produce complete melting. Such an approach enabled fine configurations having a continuously graded composition transition to be obtained. The thermal shock testing of the deposited samples with 1mm thick FG-TBC system on Ni-based alloy substrates was performed using an in-house-designed multi-functional rotational thermal shock tester. In this tester, the heating-cooling curves and surface morphology of tested specimens can also be observed by a microscope with a CCD (charge-coupled device) camera and recorded on line by means of accessorial computer system to evaluate the thermal shock resistance of tested samples while they were heated by a high heat flux of oxygen-acetylene flame to 1200° C in a time interval of 15~20s followed by water-quenched to ambient temperature. The temperature fields and relevant thermal stresses distribution through the thickness of disk samples were calculated by means of ANSYS finite element method. The numerical approach shows that the maximal tensile stress occur at the C-YSZ top coating at the center of disc samples at the start of rapid cooling by water-quenched, where small reticulated surface cracks were observed, which then propagated perpendicularly about 350µm deep to near the interface between the pure C-YSZ coating and the FGMs layer transition between the C-YSZ and the NiCoCrAlY coatings. These vertical cracks appeared to be arrested without any delamination after 200 thermal shock cycles.