The mechanical behaviour of thermal barrier coatings in operation holds the key to understanding durability of jet engine turbine blades. Here we report the results from experiments that monitor strains in the layers of a coating subjected to thermal gradients and mechanical loads representing extreme engine environments. Hollow cylindrical specimens, with electron beam physical vapour deposited coatings, were tested with internal cooling and external heating under various controlled conditions. High-energy synchrotron X-ray measurements captured the in situ strain response through the depth of each layer, revealing the link between these conditions and the evolution of local strains. Results of this study demonstrate that variations in these conditions create corresponding trends in depth-resolved strains with the largest effects displayed at or near the interface with the bond coat. With larger temperature drops across the coating, significant strain gradients are seen, which can contribute to failure modes occurring within the layer adjacent to the interface.