Film cooling and thermal barrier coatings (TBCs), acting as effective measurements of thermal protection, are successfully applied in the high-temperature components of turbine blades and combustion chamber. The mixing of the main hot gas and low temperature coolant on the wall surface leads to complicated temperature distribution with high temperature gradient, resulting in high thermal stress and even failure of the TBCs and substrate during thermal cycling. Failure analysis and lifetime prediction of TBCs in service condition are of importance to the structure design of hot section of gas turbine and coating process of TBCs. To this end, a 3D finite element model of TBC and substrate system was developed. The temperature and stress distributions of the system were calculated. The distribution of interface damage of TBC was obtained based on a interfacial cohesive zone model (CZM). Results show that: although the cooling hole has lower temperature near due to heat convection, large stress concentration still appears because of thermal mismatch and the geometry of cooling hole. Damage of TBC also appears around the cooling hole due to large stress and temperature, which makes it a dangerous zone to crack and delamination of the TBCs.