Thermal Shock:

Thermal shock (stress) could lead to excessive thermal gradients on materials that lead to excessive stresses.  Those stresses could be comprised of tensile stress, that is stress arising from forces acting within opposite directions tending to pull a material apart, and compressive stress, that is stress arising from forces acting in another directions tending to push a material together. Those stresses, cyclic in nature, could lead to fatigue failure of the materials.

Thermal shock is caused through nonuniform cooling or heating of a uniform material or uniform heating of nonuniform materials.   Assume a body is heated and constrained so in which it cannot expand.  While the temperature of the material rises, the increased activity of the molecules causes them to press against the constraining boundaries, therefore setting up thermal stresses.