Based on the establishment of the original and improved models of the turbine blade, a thermal–fluid–solid coupling method and a finite element method were employed to analyze the internal and external flow, temperature, and thermal stress of the turbine blade. The uneven temperature field, the thermal stress distribution characteristics of the composite cooling turbine blade under the service conditions, and the effect of the thickness of the thermal barrier coating (TBC) on the temperature and thermal stress distributions were obtained. The results show that the method proposed in this paper can better predict the ablation and thermal stress damage of turbine blades. The thermal stress of the blade is closely related to the temperature gradient and local geometric structure of the blade. The inlet area of the pressure side-platform of the blade, the large curvature region of the pressure tip of the blade, and the rounding between the blade body and the platform on the back of the blade are easily damaged by thermal stress. Cooling structure optimization and thicker TBC thickness can effectively reduce the high temperature and temperature gradient on the surface and inside of the turbine blade, thereby reducing the local high thermal stress.