Two-layer structure thermal barrier coatings (TBCs) (NiCoCrAlY (bond coat)+(6%-8%, mass fraction) Y2O3-stabilized ZrO2(YSZ top coat)) were deposited by electron beam physical vapor deposition (EB-PVD) on tube superalloy substrates. The samples were investigated by isothermal oxidation and thermal shock tests. It is found that the mass gains of the substrate with and without TBCs are 0.165 and 7.34 mg/cm2, respectively. So the TBCs system is a suitable protection for the substrate. In thermal shock tests the vertical cracks initiate at the top coat and grow into the bond coat, causing the oxidation of the bond coat along the cracks. Failure of the TBCs system occurs by the spallation of the YSZ from the bond coat, and some micro-cracks are found at the location where the fragment of the YSZ top coat spalled from.