In many engineering applications, the heating condition changes in a millisecond or less, thus to study such conditions, the coaxial thermocouples (CTs) are used because they have fast responding capability. The present study reveals the construction of K, E, and J-type of coaxial thermocouples and comparative investigation of performance parameters such as determination of thermal coefficient resistance, sensitivity, thermal product (TP), transient temperatures, surface heat flux, response time, and the comparative analysis are performed. These coaxial thermocouples are exposed to four different step heat loads (5 kW/m2, 25 kW/m2, 50 kW/m2, and 70 kW/m2) supplied by a continuous-wave type laser source. Subsequently, the transient temperature histories have been captured for 1.5 s, as well as the thermal product and the surface heat flux are assessed through one-dimensional heat conduction modeling for a semi-infinite body. For the known wattage input heat load, the finite element and analytical study have been done to compare the experimental outcomes. The experimental results have reasonable accuracy with the numerical and analytical results. The average error calculated for transient temperatures and evaluated heat flux are ±0.25% and ±2.5%, and the response times of these coaxial thermocouples are calculated as 40 µs, 36 µs, and 46 µs for K, E, and J-type, respectively, which shows the measuring capability of these CTs for short-duration measurements.