The failure of premature thermal cycling spalling off is the bottleneck problem currently faced by yttrium oxide partially stabilized zirconia (YSZ) ceramic-based sealing coatings. Studies on the thermal cycling performance of coatings with “brick-mud” structures were carried out by experimental and simulation methods in this paper. The results showed that, as the thickness of “mud” layer increased, the bonding strength of the “brick-mud” structure coatings gradually decreased. When the thickness of the “mud” layer was about 3 μm and 10 μm, the thermal cycling lives of the T1 and T2 coatings were improved by 90.0% and 135.7%, respectively, compared with conventional coating (T0 coating), while that of the T3 coating (containing thick “mud” layers of about 20 μm) was decreased by 81.4%. The stress field of M2 “mud” layers with different thicknesses was subjected to a comprehensive effect by thermal mismatch stress and pores in “brick” layer. Compared with the medium and thick “mud” layers, the thin “mud” layer sustained obvious larger σ22 max and σ12 max, indicating its potential for the preferential initiation of transverse microcracks. In addition, the thin “mud” layer withstood the largest σ11 max and had the strongest potential for longitudinal crack growth. Both transverse and longitudinal cracking could consume energy during thermal cycling and reduce the stress concentration at the top coating/bond coating interface. These were the main reasons for the improvements in the thermal cycling performances of the T1 and T2 coatings. The degree of crack deflection and the capacity of energy dissipation in the “mud” layer increased significantly with its thickness. However, the propagation length of transverse cracks also gradually increased in the meantime. Especially when the “mud” layer was 20 μm, the length of the transverse cracks increased rapidly. Thus, early interlayer delamination failure occurred in the T3 coating during thermal cycling.