The invention relates to an aluminum oxide ceramic and a manufacturing method thereof and particularly relates to a composite aluminum oxide ceramic with improved thermal shock resistance and a manufacturing method of the composite aluminum oxide ceramic. The composite aluminum oxide ceramic with improved thermal shock resistance is prepared through the following steps of: grinding nano alpha-aluminum oxide, yttrium oxide, zircon powder, 0.5-2% of magnesium oxide, silicon oxide, 1-3% of agglutinant and alpha-aluminum oxide, mixing the components, and then, carrying out spray granulation, dry pressing the mixture into ceramic blanks with various shapes by using a pressing machine, and sintering the blanks at high temperature of 1700 DEG C for at least 48 hours, wherein the blanks are formed through dry pressing. Raw materials including the nano alpha-aluminum oxide, the rare earth yttrium oxide, the zircon powder, and the like are added into the composite aluminum oxide ceramic with improved thermal shock resistance, provided by the invention, the thermal shock resistance of the prepared product is improved, and the thermal shock resistance of the composite aluminum oxide ceramic can be effectively improved when the composite aluminum oxide ceramic is used in a high-temperature environment higher than 800 DEG C.