The evolution of residual stresses in the thermal barrier coating around the hole after femtosecond laser drilling was investigated by step-by-step measurement of residual stresses around the cooling hole prepared by different femtosecond laser processes using the cosα method. The results show that the surface stress of the sprayed thermal barrier coating and the coating around the hole after laser drilling are both residual tensile stresses dominated by quenching stresses. Under different femtosecond laser processing processes and different hole sizes, there is an obvious radial residual stress zone around the gas film hole, and the residual stress is linearly decreasing in this zone. There is no significant difference in the radial residual stress field around the gas film hole prepared by different processes due to the influence of the spatter formed by the thermal effect of femtosecond laser, and changing the diameter of the gas film hole cannot improve this thermal effect.