Thermal shock behavior of ZrB 2-20% SiC-15% graphite and ZrB 2-20% SiC-5% AlN was studied by water quenching test. Strengths of the two materials were measured with different load speeds. It presented that the material strengths decreased with an increase of load speed, and gradually approached to a constant value. A novel method was provided for predicting heat transfer coefficients and thermal stress considering dynamical behavior during quenching test. It showed that the maximum dynamical thermal stress, which determined failure of the materials, was more than two times as the maximum quasi-static one. The method provided in this work can be used to obtain more accurate thermal stress during quenching test.