This paper presents an investigation of the damage mechanisms in protective coatings deposited on a single crystal superalloy, under TMF (thermo-mechanical fatigue) loading conditions. This includes an aluminide coating called C1A and a Thermal Barrier Coating (TBC). Different TMF cycles are used to assess the coating resistance in both cases and respective damage mechanisms are reported. TMF cycles derived from real service conditions prove to be better testing methods for coating resistance as compared to standard cyclic oxidation tests without mechanical loading. Implications for lifing procedures are tentatively discussed from the results of this investigation.