Thermal shock tests have been performed on W(Re)/Cu and Mo/Cu duplex structures with a particular emphasis on two failure modes: failure on the heated surface and failure near the bonding interface. The results indicate that failure of the duplex structure largely depends on the constraint of thermal strain on the heated surface and on the ductility changes of armour materials. Rapid debonding of the bonding interface may be attributed to the yielding of armour materials. This leads to a residual bending deformation when the armour cools down. Arguments are also presented in this paper on two parameter characterization of the failure of armour materials and on stress distribution near the free edge of the bonding interface.