Thermal shock damage is a key issue for the stable service of SiC/SiC with environmental barrier coating (EBC) in aero‐engines. The thermal shock damage behavior of SiC/SiC with barium‐strontium aluminosilicate (BSAS)‐based EBC in an air atmosphere quenched by air and water media between RT and 1200 °C is systematically investigated. After 600 thermal shock cycles, cracks form in the EBC due to a sharp increase in the internal thermal stresses, and a SiO2 TGO layer is formed on the Si bonding coat. Based on the TGO thickness, damage within BSAS/mullite coatings is quantified by the oxygen permeability (2.541 × 10−11 mol·(atm cm s)−1), which is increased by 2.5 times compared to static oxidation. Despite cracking damage occurring in the SiC matrix of SiC/SiC substrates, the load‐bearing capability of SiC fibers is improved due to the modulus matching of the fiber/matrix. Oxidation damage is dominated the degradation of the performance of SiC/SiC substrates, whose flexural strength is decreased by 15% after 600 cycles. In the thermal shock test quenched by water media, the strength retention of SiC/SiC‐EBC is below 60%, and an increase in internal defects and even delamination of the SiC/SiC substrate are the main reasons for the thermal shock failure of SiC/SiC‐EBC.