In order to improve the bonding strength between substrates and thermal barrier coatings (TBCs) of hot components of aircraft engines and prolong service life of coatings, the laser rapid prototyping technology is applied to fabricate a network structure on a superalloy substrate, and the plasma spraying method is for ceramic coatings. The thermal shock resistance of these TBCs is studied experimentally and compared with that of traditional coatings with a two-layer structure. To further analyze the effect of the network structure on the stress distribution of TBCs, a two-dimensional finite element numerical model is established based on the thermo-elastic-plastic theory. The results show that the TBCs with a traditional two-layer structure and a network structure fail after 45 and 111 thermal shocks, respectively. Due to the thermally grown oxide layer (TGO) along the interface between the layers of ceramic and bond coating, a spalling of the ceramic layer near the edge is observed for both kinds of TBCs. Further numerical analysis results show that the concentration of stress on the boundary region is relatively released with the help of the network structure. Accordingly, the cracks originated on the boundary are effectively suppressed, which reasonably makes the thermal shock resistance improvement of TBCs.