There are three purposes for this study. The first one is to develop a computer simulation model to predict the temperature profiles and the associated thermal stresses of an exhaust oxygen sensor during the warm‐up stage. The second is to evaluate the applicability of two kinds of ceramic material, PSZ and TTZ, based on warm‐up performance and thermal stress magnitude. And the third is to identify the causes of test failures and propose improvements in design. A finite element model was built, which included a zirconia sensor body, a platinum heater and alumina insulating layers. The area with the embedded heater in the coating was considered a composite plate. A single layer was used to approximate the Al2O3/platinum/Al2O3layers. A transient heat transfer analysis was performed first to obtain the thermal response of the exhaust oxygen sensor. The analysis simulated the electrical circuit behavior and thermomechanical interactions of a vertically supported oxygen sensor powered by a constant voltage during a warm‐up test. In the simulation, the electrical resistance, convective coefficient and radiative emissivity were considered temperature dependent. Using ABAQUS (1994) finite element code, a user subroutine DFLUX was developed to interface with the source code to calculate the electric power density of each heater element. Another user subroutine, FILM, was developed to compute the combined convective and radiative heat transfer coefficient on the sensor surface. With the simulated temperature distributions, a follow‐up stress analysis was conducted for the associated thermal stresses. The above procedures were applied to PSZ and TTZ sensors to select the better sensor substrate.