To understand the enhanced protection mechanism of CoCrNiAlY–YSZ–LaMgAl₁₁O₁₉ double-layer ceramic coating with aluminum plating, a finite element simulation method was used to simulate the distribution of thermal stress in the coating in all directions. The results show that in the air exposure of the un-aluminized coating, high temperature causes a large radial thermal stress on the surface of the LaMgAl₁₁O₁₉ (LMA) layer, and it increases with the increase in temperature, which is the main reason for the initiation of axial cracks. After arc aluminum plating, the aluminum plating layer effectively inhibited the volume shrinkage of the coating through good adhesion to the coating and internal diffusion; the thermal stress of the coating was considerably reduced; and the CoCrNiAlY–YSZ–LMA coating had an effective enhancement and protection effect. However, there was still a certain amount of shear thermal stress inside the LMA layer, the top of the crack, and the bottom of the crack. This thermal stress caused the initiation of radial microcracks in the LMA layer, which also becomes a risk point for the failure of the aluminum coating.