Due to their excellent high-temperature strength, good processing plasticity and corrosion resistance, refractory metals and their alloys are extensively utilized in the aviation, aerospace and nuclear industries, serving as important high-temperature structural materials. However, their susceptibility to oxidation often causes serious oxidation before reaching service temperatures, leading to rapid failure. High performance high-temperature protective coatings are essential for maintaining the performance of these refractory alloy materials at present. However, the actual service conditions of high-temperature protective coatings on surfaces of refractory metals and their alloy are very harsh, often accompanied by strong thermal shock, which is an important reason for coating failure. Therefore, a high-temperature protective coating on refractory metals must have excellent constant temperature oxidation resistance and good thermal shock resistance. In this paper, the thermal shock failure mechanism of high-temperature protective coatings on the surfaces of refractory metals was reviewed, and the key parameters affecting the coatings’ thermal shock resistance were discussed. The research status of the thermal shock resistance of three main coating systems, including silicides, metals and composite coatings on the surface of refractory metals, was expounded. Additionally, the modification methods and their improvement effects, such as optimizing the coating structure, adding ceramic particles and designing composite coatings to improve the thermal shock resistance of coatings, were reviewed. Finally, the future development direction of high-temperature protective coatings for refractory metals was prospected from three aspects: reducing the mismatch of thermal expansion coefficient between the coating and the substrate, improving the interface bonding performance between the substrate and coating and designing composite gradient coatings.