Thermal mismatch and thermal oxidation stress caused by generation of thermally grown oxide (TGO) in thermal barrier coatings (TBCs) are the main reasons for spalling failure of ceramic coating. Most terahertz time-domain spectroscopy methods have trouble correctly measuring early TGO thickness due to the significant absorption of porous ceramic material to terahertz radiation, external noise, and system oscillation. Therefore, a sparse decomposition-based TGO thickness calculation method through terahertz technique is proposed. A complete atom library is structured based on the characteristics of the terahertz pulse and noise signal. The best atom is searched in the atomic library, and the signal is decomposed and reconstructed. On this basis, the increment of time-of-flight of signal is computed to determine the TGO thickness. The results verified the proposed method can accurately calculate the thickness of naturally grown TGO in TBCs, with an absolute error of 0.28 μm, meeting the requirement of practical engineering application.