To improve the thermal shock resistance of the shell steel, a Cr coating was deposited on its surface using arc ion plating technology. The protective capability of the Cr coating on the shell steel at 900 °C following a water-cooling cycle was investigated. Automatic scratch tester, scanning electron microscopy (SEM), X-ray diffraction (XRD), and energy-dispersive spectroscopy (EDS) were employed to characterize adhesion to the substrate, the microstructure, phase composition, and elemental composition of the shell steel and the Cr coating. The results indicate that the adhesion strength of the Cr coating is approximately 26.21 N, which is about 20.16% lower than the 32.83 N adhesion strength of the original Cr coating. At 900 °C, Fe₃O₄ and Fe₂O₄ form on the surface of the shell-and-tube steel. The oxide film exhibits cracking, peeling, and thermal fatigue, while oxidation defects accumulate within the steel, accompanied by significant precipitation of Ni. A dense Cr₂O₃ oxide film formed on the surface of the Cr coating, releasing thermal stress in the form of grid-like cracks. Under 10× magnification, no oxidation defects were observed within the Cr coating, and Fe from the substrate did not diffuse into the Cr coating; Under 100× magnification, the Cr coating exhibits fewer oxygen channels than the steel tube body. Oxygen is concentrated within these channels, and the Cr coating demonstrates significant resistance to thermal fatigue, providing markedly superior protection against thermal shock compared to the steel tube body.