The effects of thermal cycling frequency and buffer layer on the crack generation and thermal fatigue behaviors of Yb–Gd–Y-stabilized zirconia (YGYZ)-based thermal barrier coatings (TBCs) were investigated through thermally graded mechanical fatigue (TGMF) test. TGMF tests with low- (period of 10 min) and high-frequency (period of 2 min) cycling were performed at 1100 °C with a 60 MPa tensile load. Different cycling frequencies in TGMF test generate two kinds of crack propagation modes. The sample with low-frequency cycling condition shows penetration cracks in the YGYZ top coat, and multiple narrow vertical cracks are generated in high-frequency cycling. To enhance the thermomechanical properties, different buffer layers were introduced into the TBC systems, which were deposited with the regular (RP) or high-purity 8 wt% yttria stabilized zirconia (HP-YSZ) feedstock. The purity of the feedstock powder used for preparing the buffer layer affected the fracture behavior, showing a better thermal durability for the TBCs with the HP-YSZ in both frequency test conditions. A finite element model is developed, which takes creep effect into account due to thermal cycling. The model shows the high stresses at the interfaces between different layers due to differential thermal expansion. The failure mechanisms of YGYZ-based TBCs in TGMF test are also proposed. The vertical cracks are preferentially created, and then the vertical and horizontal cracks will be propagated when the vertical cracks are impeded by pores and micro-cracks.