A thermal shield structure with ceramic blocks for protecting high-temperature-exposed wall surface in which wedge-shaped supporting members and wedge-shaped members to be supported, respectively provided on the wall surface and ceramics blocks as a plurality of pairs of wedge-groove couplings, are engaged with each other to cover the wall surface with the ceramic blocks. In accordance with the invention, a gap small enough to prevent mutual disengagement of each pair of the wedge-shaped supporting member and the wedge-shaped supported member is provided therebetween to permit movement of the ceramic blocks towards the wall surface. A passage for an air supply into each wedge-shaped supporting member is provided so that each wedge-shaped supported member is urged by the pressure of supplied air to be retained in the wedge-shaped supporting member, whereby the ceramic blocks are held on the wall surface.