The response of tungsten (W) to thermal shock loading, as the best candidate for Plasma-Facing Materials, is an important issue in the research of future fusion devices. Under thermal loading, thermal irradiation damage, including brittle cracking and fatigue cracking, occurs on the surface of W-PFM. In this paper, a new scheme to suppress the thermal irradiation damage of W-PFM, i.e., the laminated structure W-PFM scheme, is proposed. Thermal fatigue experiments were conducted on laminated structures W composed of W foils with different thicknesses and heat treatment processes using an electron beam device. The samples were subjected to thermal pulses with a power density of 48 MW/m2 for 5000 cycles. The results indicate that the crack damage on the surface of the laminated structure W decreased with the decrease of the thickness of W foils under the same heat treatment conditions. The main cracks produced on the surface of laminated structure W after cyclic thermal loading were all approximately parallel to the foil thickness direction. The surface of W foils with smaller thicknesses has only main cracks, while the surface of W foils with larger thicknesses develops crack networks in addition to the main cracks, and the width of the main cracks is larger. For the same thickness, the laminated structure W in the rolled state has the weakest degree of surface plastic deformation. Scanning electron microscope images of the thermal damage area were finally selected, and the thermal fatigue crack damage on the surface was quantitatively analyzed using computer image processing software and analysis software. It was found that the de-stressed state W had the smallest crack area and the smallest number of cracks for the same thickness, indicating that the de-stressed state W had the strongest resistance to irradiation damage. The experimental results also show that, in addition to the effect of microstructure, both the uniaxial stress state and the crack-blocking mechanism of the laminated structured W-PFM contribute to the improvement of its thermal fatigue performance.