Inclined holes processing at 45° on thermal barrier coatings (TBCs) which were deposited on superalloy samples by electron beam physical vapor deposition (EB–PVD) using the ultrafast laser were processed. Then the thermal cycling test was performed on samples with inclined hole at 45°, the changes of the holes in the thermal cycling test and the effect of the holes on thermal barrier coatings spallation failure were studied. The results show that, there is no cracking and re-casting layer in both thermal barrier coating and superalloy on the edge of the hole which processed by ultrafast laser. Ultrafast laser processing does not result in changes in the tissues of the hole edge at the location of the superalloy, which is still typical γ and γ´ tissues. The hole diameter is no obvious change before and after the thermal cycling. But the inner wall of the inclined hole is changed from a clean surface to a surface with obvious oxide. With the increase of the thermal cycling times, the oxide on the surface of the inner wall of the superalloy is exfoliated. The spallation occurs on the thermal barrier coatings surface after 500 times of thermal cycling. Inclined holes at 45° processed by the ultrafast laser does not affect the thermal cycling spallation failure of thermal barrier coatings.