As the prime candidate for plasma-facing materials (PFM), the response of tungsten (W) to thermal shock loads is an important research topic for future fusion devices. Under heat loads, the surface of tungsten plasma-facing materials (W-PFM) can experience thermal damage, including brittle cracking and fatigue cracks. Therefore, exploring solutions for thermal damage of W-PFM remains one of the current research focuses. We propose a novel approach to mitigate thermal radiation damage in PFM, namely, the stacked structure W-PFM. The surface thermal stress distribution of the stacked structure W-PFM under heat loads was simulated and analyzed by the finite element method. As the foil thickness decreases, both the peak thermal stresses in the normal direction (ND) and rolling direction (RD) decrease. When the thickness decreases to a certain value, the peak thermal stress in the RD decreases to about 1384 MPa and no longer decreases; while the peak thermal stress in the ND approaches 0 MPa and can be neglected. In the range of approximately 5–100 mm, the accumulated equivalent plastic strain decreases sharply as the thickness decreases; in other thickness ranges, it decreases slowly. Thermal fatigue experiments were conducted on the stacked structure W composed of W foils with different thicknesses and bulk W using an electron beam facility. The samples were applied with a power density of 30 MW/m2 for 10,000 and 20,000 pulses. The cracks on the surface of the stacked structure W extended along the ND direction, while on the surface of bulk W, besides the main crack in the ND direction, a crack network also formed. The experimental results were consistent with finite element simulations. When the pulse number was 10,000, as the thickness of the W foil decreased, the number and width of the cracks on the surface of the stacked structure W decreased. Only four small cracks were present on the surface of stacked structure W (0.05 mm). When the pulse number increased to 20,000, the plastic deformation and number of cracks on the surface of all samples increased. However, the stacked structure W (0.05 mm) only added one small crack and had the smallest surface roughness (Ra = 1.536 μm). Quantitative analysis of the fatigue cracks showed that the stacked structure W-PFM (0.05 mm) exhibited superior thermal fatigue performance.