Ceramics were susceptible to thermal shock failure. In this work, aluminum nitride‐based ceramics with excellent thermal shock resistance were developed. Thermal shock resistance was evaluated in the temperature range of 1200–1600°C by thermal cycling of 10, 20, 30, and 50 times. The phase composition, microstructure, and mechanical properties of the ceramics before and after the thermal shock were investigated. After 50 thermal cycles, the retention rates of the flexural strength and fracture toughness were 81.7% and 113.1%, respectively. The excellent thermal shock resistance was attributed to the combined effects of amorphous grain boundaries that passivate the propagation of microcracks and in‐situ precipitation of nanocrystalline particles during thermal cycles, both of which provide useful guidelines for developing ceramics with better thermal shock resistances.