A ladle shroud is one of the functional refractories for continuous casting, which undergoes severe thermal shock by molten steel when used without pre-heating. The composite ladle shroud with an insulating liner presents excellent thermal shock resistance. Finite element simulation is an effective method to explore the maximum thermal stress for predicting the thermal shock resistance of ladle shrouds. In this paper, the influence of the lining materials and the structure of ladle shrouds on the thermal stress distribution is systematically researched. The working mechanism of the lining material on the body material is also presented. Lining materials with low thermal expansion, elastic modulus and thermal conductivity are helpful to improve the thermal shock resistance and an optimum lining thickness is suggested. The lining material can both serve as thermal resistance for the body material to buffer the thermal stress, and apply a strain load to the body material by the thermal strain to increase the stress.