Material systems made from nickel based superalloys with protective coatings have been tested in thermo-mechanical fatigue with superposed thermal gradients, which generated multiaxial stress states. The testing conditions were selected for simulating the fatigue loading in the wall of an internally cooled gas turbine blade of an aircraft engine. After thermo-mechanical testing the damage behaviour of the materials has been investigated by means of microscopic methods. The laboratory experiments have been accompanied by numerical simulations. Based on the results of the simulations and observed damage features the test parameters in subsequent laboratory tests have been controlled to facilitate the validation of models describing the initiation and propagation of damages. This contribution gives an overview over results on the influence of multiaxial stress states on (i) oriented deformation and coagulation of γ’-precipitates (‘rafting’) in the substrate, (ii) on morphological instabilities of the surface of metallic oxidation protection coatings (‘rumpling’), and (iii) on crack initiation and growth in material systems with additional ceramic thermal barrier coating.