This study investigates the thermal shock property of a polycrystalline diamond compact (PDC) produced by a high-pressure, high-temperature (HPHT) sintering process. Three kinds of PDCs are manufactured by the HPHT sintering process using different particle sizes of the initial diamond powders: 8-16 μm (D50 = 4.3 μm), 10-20 μm (D50 = 6.92 μm), and 12-22 μm (D50 = 8.94 μm). The microstructure observation results for the manufactured PDCs reveal that elemental Co and W are present along the interface of the diamond particles. The fractions of Co and WC in the PDC increase as the initial particle size decreases. The manufactured PDCs are subjected to thermal shock tests at two temperatures of 780oC and 830oC. The results reveal that the PDC with a smaller particle size of diamond easily produces microscale thermal cracks. This is mainly because of the abundant presence of Co and WC phases along the diamond interface and the easy formation of Co-based (CoO, Co3O4) and W-based (WO2) oxides in the PDC using smaller diamond particles. The microstructural factors for controlling the thermal shock property of PDC material are also discussed.