Attaining optimum structural ceramic designs calls for an extensive search in a vast design space. Herein, the thermomechanical properties of interlocked ceramics are evaluated and an approach to assist their design under thermal shock loading is proposed. A combination of finite‐element (FE) and machine learning (ML) methods is used to simulate behaviors of systems and then to sweep the vast domain of input combinations to determine the best‐performing designs, respectively. First, FE modeling is done using a limited number of interlocking architectures with different design parameters via Comsol Multiphysics. The simulation data is used for training ML algorithms. Of the examined ML algorithms, Gaussian process regression (GPR), extreme gradient boosting (XGB), and neural networks (NN) more accurately predict the thermomechanical responses of the interlocking ceramics. After validation, the combination of FE and ML approaches is applied to thermal shielding and heat sink applications to find the optimal interlocked ceramics in terms of minimal out‐of‐plane deformation and maximal heat absorption, respectively. The results show the success of the approach in finding optimum designs in a space of more than 2 million cases. The striking success of the ML approach implies its promising potential for predicting physical properties of ceramics.