Thermal shock multiple cracking behaviors of re-entrant auxetic honeycombs with a negative Poisson’s ratio are investigated, and the crack initiation and propagation behavior are discussed. An effective macro continuum model is developed to detect the effects of cracking density and microstructures of auxetic honeycombs on the thermal stress and intensity. The microscale tensile stresses in the struts ahead of the crack as functions of the corresponding thermal stress intensity factor (SIF) at the macroscale are evaluated by employing a macro–micro model. Then, a lower-bound method is proposed to assess the critical thermal load of auxetic honeycombs by combining the macro-micro model and the macro continuum model. A significant increase in both transient thermal stress and intensity as the growing cell-wall angle is demonstrated. Results for the maximum thermal SIF as well as the maximum tensile stress in the middle of cracks are calculated as functions of crack density and length. With the identical SIF, the microscale tensile stresses ahead of the crack in honeycombs with smaller cell-wall angles are greater than that in mediums with larger angles due to the more significant crack tip opening displacement. Critical thermal load prediction reveals that the honeycombs with smaller cell-wall angles generally possess more excellent thermal shock resistance. Also, the varying failure modes of different auxetic honeycomb strips under specific thermal load are predicted. The corresponding mechanisms of crack initiation and propagation are revealed.