The nozzle serves as a crucial component in regulating the operating state of an aero-engine, exerting a particularly substantial influence on the thrust of high-speed aircraft. To comprehensively investigate the mechanical performance of the nozzle structure under repeated thermo-mechanical coupling loads, a series of 100 thermal cycling tests was carefully conducted. The experimental results showed that the bolt connection of ceramic-matrix composites (CMC) is one of the structural weak points within the nozzle. Based on the experimental results, the failure evolution pattern and number of failure cycles of the CMC connections were determined. Moreover, a detailed analysis was carried out on the crack propagation in the CMC panels and aerogel-based bolt holes, which are integral materials of the nozzle structure. This experimental research provides fundamental data critical for the high-reliability engineering application of the nozzle.