To understand the stress evolution and failure mechanisms of thermal barrier coatings (TBCs), finite element simulations are an invaluable tool. Simulations are especially useful to unwrap complex interactions of different phenomena at high temperature, including creep, sintering, diffusion, and oxidation. However, the correct setup and evaluation of a finite element model for this problem are difficult. This article reviews critical issues in modelling TBC systems. Some of the most important aspects are as follows: (a) stresses in 3D simulations may differ considerably from 2D models; (b) the interface shape strongly affects the stresses and using an idealized geometry may underestimate stresses; (c) crack propagation requires simulating sufficiently large regions to correctly capture stress redistribution; (d) a correct description of the material behaviour (visco-plasticity, TGO growth, sintering) is crucial in determining the stress state. The article discusses these and other issues in detail and provides guidelines on the choice of model parameters, boundary conditions, etc. The paper also points out open questions in modelling TBC systems and discusses aspects of verification and validation.