Previously, we experimentally studied high-temperature behavior of three types of castable particle-reinforced ceramic composites that we designed for application in aerospace industry. These composites contain Zirconia particles (ZrO2) and bubbles, and silicon-carbide (SiC) particles as reinforcements, dispersed in an alumina (Al2O3) matrix. The present work aims to implement a Finite Element (FE) damage mechanics modeling approach based on the experimental results to investigate micro-scale mechanisms of failure in these materials and ascertain the effect of particle size and volume fraction (VF). Different mechanisms of failure are detected for different types of inclusions, and the percentage of yielded elements seem to strongly correlate with the theoretical thermal shock indices. Additionally, within the limits of this study, VF showed to have a positive correlation with the percentage of yielded elements, whereas inclusion size depicted an inverse correlation to that parameter. These novel findings shed new light on the micro-scale mechanisms of thermal failure in ceramic composites with complex microstructures.