The microscale effects of non-Fourier heat transfer are often ignored in studies concerning thermal shocks. This paper presents a one-dimensional physical model representing the composite structure of a flat plate coating and substrate. Model I considers the hyperbolic heat transfer of the coating and the parabolic heat transfer of the substrate. Additionally, appropriate boundary conditions are determined based on the heat transfer behavior at the interface. On this basis, a thermoelastic mechanics model of the coating and substrate is formulated. The model is discretized using the implicit difference method to acquire the numerical solution for the temperature field. Subsequently, the stress field is determined, and specific examples are provided. At the same time, mathematical model II of parabolic heat transfer for both the coating and substrate is established for comparative study. It is found that model I demonstrates delayed change, localized distribution, and fluctuation of thermal stress within the coating when taking into account the microscale effect of non-Fourier heat transfer, assuming identical initial conditions and thermal perturbations. In model I, the thermal stress at any position does not start from zero. Conversely, model II shows no fluctuation, and the thermal stress at any position starts to change from zero. After the generation of thermal stress of model I, it reaches the peak first, and the peak value is larger than that of model II. In the substrate, the thermal stress of model I is larger than that of model II, and the gradient of change is higher. At the interface, model I exhibits a “reflection effect”, where the stress value and the stress drop are larger than those of model II. The comparison shows that the thermal shock to model I is more complicated and intense. This study provides a useful reference for ensuring the reliability of coatings under extreme heat transfer environments.