Stellite alloys are widely used in the aerospace field owing to their excellent high-temperature strength and thermal fatigue resistance. However, with the rapid development of the aerospace industry, there is an urgent demand to further enhance the mechanical properties and thermal fatigue resistance of Stellite alloys. In the present study, we prepared a conventional CoCrW alloy (classified as a Stellite alloy) and a novel CoCrWAlNi alloy, which was formulated by introducing aluminum and nickel into the CoCrW matrix, using the direct laser deposition technique. Their microstructural characteristics, mechanical properties, and thermal fatigue performance were systematically investigated. The results indicated that the additions of aluminum and nickel contribute to stabilizing the γ-Co phase. Compared with the CoCrW alloy, the CoCrWAlNi alloy exhibited higher elongation at fracture. In situ observation was employed to study the initiation and propagation of thermal fatigue cracks. Meanwhile, the effects of oxidation on thermal fatigue resistance were analyzed through experimental tests and theoretical calculations based on the Huntz model. Finally, an optimized thermal fatigue mechanism tailored for cobalt-based alloys was established, which yields deeper insights into the failure mechanisms of these alloys under complex thermal-cycling fatigue conditions.