Thermal barrier coating (TBC) and cooling air systems are among the technologies that have been introduced and applied in pursuing the extensive development of advanced gas turbine. TBC is used to protect the gas turbine components from the higher operating temperature of advanced gas turbine, whereas cooling air systems are applied to assist TBC in lowering the temperature exposure of protected surfaces. Generally, a gas turbine operates in three main operational modes, which are base load, peak load, and part peak load. TBC performance under these three operational modes has become essential to be studied, as it will provide the gas turbine owners not only with the behaviors and damage mechanism of TBC but also a TBC life prediction in a particular operating condition. For TBC under base load or so called steady-state condition, a number of studies have been reviewed and discussed. However, it has been found that most of the studies have been conducted without the assistance of a cooling air system, which does not simulate the TBC in advanced gas turbine completely. From this review, the studies on TBC-assisted cooling air system to simulate the advanced gas turbine operating conditions have also been summarized, which are limited to test rig simulations under thermal cyclic mode where thermal cyclic represents peak and part peak load conditions. The equipment used to simulate the gas turbine operating condition, test temperatures, and durations are parameters that have been taken into consideration under this review. Finally, a test rig that is capable of simulating both TBC and cooling air effects at a high operating temperature of advanced gas turbines for prolonged exposure under steady-state condition has been proposed to be developed.