Only a few of the numerous studies on plasma-sprayed thick thermal barrier coatings (TTBCs) have focused on the relationship between the thermal shock resistance of the TTBCs and cracks in the ceramic coating. In this study, three types of TTBCs (a traditional coating, nanostructured coating, and segmentation-cracked coating) with different intrinsic cracks were deposited via atmospheric plasma spraying (APS). To analyze the failure mechanism of these thick coatings, the correlations among the phase composition, microstructure, grain growth behaviors, mechanical properties, and stress distribution were investigated using scanning electron microscope, X-ray diffraction, electron back-scattered diffraction, Raman spectroscope and Vickers hardness tester. The results showed that numerous newly generated vertical cracks in the underlying part of the ceramic topcoat of a TTBC contributed to the release of the accumulated residual stress, thereby improving the thermal shock resistance. The failure mechanism of TTBCs deposited using APS was most likely dominated by residual stresses generated as a result of the thermal expansion mismatch originating from adjacent parts such as the substrate and bond coat, and the bond coat and topcoat. This led to the initiation and propagation of cracks, and finally the peeling of the thick coating.