In this paper, the SiC/SiC high-pressure turbine twin guide vanes were fabricated using the chemical vapor infiltration (CVI) method. Cyclic thermal shock tests at different target temperatures (i.e., 1400, 1450, and 1480 °C) in a gas environment were conducted to investigate the damage mechanisms and failure modes. During the thermal shock test, large spalling areas appeared on the leading edge and back region. After 400 thermal shock cycles, the spalling area of the coating at the basin and back region of the guide vane was more than 30%, and the whole guide vane turned gray, due to the formation of SiO2. When the thermal shock temperature increased from 1400 to 1450 and 1480 °C, the spalling area of the basin and the back region of the guide vane did not increase significantly, but the delamination occurred at the tenon, upper surface of the guide vane near the trailing edge of the guide vane. Through the X-ray Computed Tomography (XCT) analysis for the guide vanes before and after thermal shock, there was no obvious damage inside of guide vanes. The oxidation of SiC coating and the formation of SiO2 protects the internal fibers from oxidation and damage. Further investigation on the effect of thermal shock on the mechanical properties of SiC/SiC composites should be conducted in the future.