Gradient thermal cycling test was performed on atmospheric plasma-sprayed (APS) thermal barrier coatings (TBCs) with different thermally grown oxide (TGO) thicknesses. The TBCs with a thickness of TGO from 1.3 μm to 7.7 μm were prepared by controlling isothermal oxidation time of cold-sprayed MCrAlY bond coat. The gradient thermal cycling test was performed at a peak surface temperature of 1150°C with 150°C difference across 250 μm thick YSZ with a duration of 240 s for each cycle. Results indicate that the thermal cyclic lifetime of APS TBCs is significantly influenced by TGO thickness. When initial TGO thickness increases from 1.3 μm to 7.7 μm, the thermal cyclic lifetime decreases following a power functions by a factor of about 20. It was revealed that there exists a critical TGO thickness over which the thermal cyclic lifetime is reduced more significantly with the increase in TGO thickness. Moreover, two typical failure modes were observed. The failure mode changes from the cracking within APS YSZ at a TGO thickness less than the critical value to through YSZ/TGO interface at TGO thickness range higher than the critical value.