Understanding the mechanisms of skin behavior under thermal shock is crucial for medical treatments. However, no reasonable criteria are available for the maximum thermal loadings that skin tissue can survive. To address this, in this paper we analyzed thermal and neural behaviors of skin tissue exposed to thermal loadings by introducing the thermal shock resistance (a parameter widely used for engineering materials) of skin for the first time. Skin thermal shock resistance was analyzed according to two distinct criteria: (1) maximum local temperature at epidermis-dermis (ED) interface defined as the thermal threshold of skin thermal pain; (2) maximum thermal damage at ED interface defined as the first degree burn where irreversible skin damage occurs. Numerical simulation was performed and the results show that the thermal shock resistance of skin tissue depends on the Biot number (which characterizes the features of thermal shock). These results indicate that skin thermal shock resistance can be used as an efficient tool to predict thermal damage (e.g., burn) and the corresponding pain level induced by noxious thermal loadings (e.g., clinical thermal treatments).