A numerical model of thermal cracking with a thermo-mechanical coupling effect was established. The theory of tensile failure and heat conduction is used to study the tensile failure process of brittle materials, such as rock and concrete under high temperature environment. The validity of the model is verified by thick-wall cylinders with analytical solutions. The failure modes of brittle materials under thermal stresses caused by temperature gradient and different thermal expansion coefficient were studied by using a thick-wall cylinder model and an embedded particle model, respectively. In the thick-wall cylinder model, different forms of cracks induced by temperature gradient were obtained under different temperature boundary conditions. In the embedded particle model, radial cracks were produced in the medium part with lower tensile strength when temperature increased because of the different thermal expansion coefficient. Model results are in good agreement with the experimental results, thereby providing a new finite element method for analyzing the thermal damage process and mechanism of brittle materials.