Three-dimensional (3D) carbon fiber reinforced silicon carbide matrix composites (C/SiC) were prepared by a low-pressure chemical vapor infiltration method. The thermal shock behaviors of the composites in different environments were researched using an advanced acoustic emission (AE) system. Damage initiation and propagation were easily detected and evaluated by AE. The thermal shock damage to C/SiC composites mainly occurred at the process of cooling and was limited at argon but unlimited at wet oxygen atmosphere. Also correlations have been established between the different damage mechanisms and the characteristics of acoustic emission signals obtained during thermal shock tests. In this way, the paper contributes to the development of the acoustic emission technique for monitoring of damage development in ceramic-matrix composites.