A novel architectural design is introduced which utilizes the layer-by-layer capabilities of the vat photopolymerization 3D printing process to fabricate multi-material ceramic components with improved thermal shock resistance. The combination of 3D-printed alumina-zirconia (ZTA) with alumina (A) layers generates compressive residual stresses in the embedded alumina regions during cooling down from sintering. Thermal shock tests in water are performed on samples at different maximum temperatures and the strength degradation of the multi-material design is investigated and compared to the reference monoliths. Experimental results show that the retained strength of the multi-material ceramic after thermal shock is twice as high as that of the monoliths, associated with the crack arrest capability of the embedded layers. The concept is demonstrated on 3D-printed multi-ceramic blades for potential high temperature applications, showing enhanced “damage-tolerance” against thermal shock cracks. These findings open the path for fabricating reliable ceramic components using the vat photopolymerization process.