TiAl alloys undergo cyclic temperature changes during use, the process of which can be simulated by the thermal shock test. A systematic investigation of the thermal shock behavior of four Mo-containing TiAl alloys is conducted. The increase in Mo content from 1.0% to 4.0% causes the gradual decrease in the volume fraction of γ/α2 lamellar colony, while the volume fraction of equiaxed γ and βo phases gradually increases. At the same time, the thermal shock resistance of the TiAl alloys decreases as the Mo content increases. After thermal shock, cracks often occur within the lamellae and extend in a zigzag manner for TiAl−1.0Mo and TiAl−1.5Mo alloys. Their thermal shock resistance is enhanced by crack deflection, bridging, and microcrack shielding. For TiAl−2.0Mo and TiAl−4.0Mo alloys, cracks occur at the grain boundaries or within the γ phase and extend straight, with the result that these two alloys have worse thermal shock resistance than the other two alloys due to the limited effect of microcrack shielding. In addition, the microstructure stability of TiAl alloys after thermal shock is discussed, and there is a critical value of Mo content between 3.13% and 5.67%, which inhibits the βo → ω phase transition.