In this work, the thermal shock behavior of an Al2O3-5%tZrO2/Al2O3-30%mZrO2 multilayer ceramic is studied. On these materials, a tetragonal to monoclinic phase transformation within the Al2O3-30%mZrO2 layers takes place when cooling down from sintering. The latter induces an increase in volume and therefore compressive residual stresses arise in these layers. The residual stress distribution profile in the laminate influences the thermal shock response of the material. A finite element model has been developed to estimate both the thermal strain effects during the sintering process as well as the temperature distribution and stress profile within the laminate during thermal shock testing. Experimental tests on the monoliths and laminates were carried out and compared to the model. It is observed that the presence of the compressive layers within the laminate inhibits the penetration of thermal shock cracks into the body at even more severe conditions than in the monolithic material.