To mitigate the challenges pertaining to coating damage and processing defects arising from the utilization of ultrafast laser drilling for microhole creation in thermal barrier coatings (TBCs), thereby exerting substantial influence on the long-term durability of these microholes, the investigation proposes a comprehensive methodology. It encompasses the design of a two-factor four-level full factorial experiment and the execution of experimental research on picosecond laser drilling of TBC microholes. By meticulously analyzing the morphology of the microholes and the coating interface, the damage mechanisms associated with picosecond laser drilling of TBC microholes, as well as the influence of laser process parameters on coating damage, are revealed. The findings reveal that the optimal microhole entrance quality and the lowest roughness along the hole perimeter are attained at a laser power of 12 W and a scanning speed of 320 mm/s. Moreover, at a laser power of 30 W and a scanning speed of 320 mm/s, the minimal crack length on the blunt angle side of the hole and the highest machining quality are observed.