Laser fabrication of cooling holes in certain parts of the aero-engine components involves percussion or trepan drilling at acute angles (e.g., 16–30 deg) to the surface. These parts are often covered with plasma sprayed ceramic thermal barrier coatings (TBCs) to protect them from reaching excessive temperatures in hot engine environments. Delamination of the TBC is the main problem of laser drilling acute angled holes in the coated components. The present study investigates the mechanisms involved in the development of the delamination cracks. A significant role of melt ejection in the formation of cracks and the delamination at the coating/coating interface of the leading edge of a laser-drilled inclined hole was identified. It is shown that the delamination mechanisms at the TBC coating/bond coating and the bond coating/substrate interfaces are different. Melt ejection induced stresses were identified as the key mechanisms for the former type, while the thermal effects dominates the latter type.