The tensile failure behavior of the Cr-coated zircaloy (Zr-4) was investigated. The effect of the coating thickness on the interfacial adhesion of the samples was studied by observing the real-time process of tensile. The interfacial adhesion of the Cr coating was quantitatively evaluated using finite element analysis and shear strength theory. In addition, the crack propagation behavior of the Cr-coated samples was investigated. Results showed that the interfacial shear strength and the interfacial adhesion performance decreased with the increase of the coating thickness. However, the protective effect on the substrate increased with the increase of the coating thickness. Furthermore, the path of the crack propagation at the interface between the coating and the substrate also changed as the coating thickness increased. The cracks at the interface of the thinner coating expanded easily into the substrate, causing the local damage. The cracks of the thicker coating were more likely to propagate along the interface, resulting in the adhesive failure.