Aiming to improve the thermal shock resistance of thermal barrier coatings (TBCs), the plasma-sprayed 7YSZ TBCs were modified by selective laser remelting and selective laser alloying, respectively, in this study. A self-healing agent TiAl 3 was introduced into the 7YSZ TBCs by selective laser alloying to fill cracks during thermal cycling. The thermal shock experiments of the plasma-sprayed, laser-remelted, and laser-alloyed TBCs were conducted by a means of heating and water-quenching method. Results revealed that some segmented microcracks were distributed on the surface of the laser-remelted and the laser-alloyed zones, showing a dense columnar crystal structure. After thermal shock tests, the numbers of segmented microcracks on the laser-remelted coating increased, whereas, in the laser-alloyed condition, some irregular particles formed, leading to the decreased numbers of segmented microcracks. The laser-alloyed coating exhibited the best thermal shock resistance, followed by the laser-remelted condition, with the thermal shock lifetime 3.3 and 2.7 times higher than that of the as-sprayed coating, respectively. On the one hand, both columnar grains and segmented microcracks in the laser-treated zone could effectively improve the strain tolerance of coatings. On the other hand, the oxidation products of TiAl 3 under high-temperature condition could seal the microcracks to postpone the crack connection. Thus, the thermal shock resistance of the laser-treated coatings was significantly improved.