Modern heavy-duty gas turbines operate under hot gas temperatures that are much higher than the temperature capability of nickel superalloys. For that reason, advanced cooling technology is applied for reducing the metal temperature to an acceptable level. Highly cooled components, however, are characterised by large thermal gradients resulting in inhomogeneous temperature fields and complex thermo-mechanical load conditions. In particular, the different rates of stress relaxation due to the different metal temperatures on hot gas and cooling air exposed surfaces lead to load redistributions in cooled structures, which have to be considered in the lifetime prediction methodology. In this context, the paper describes Coupled Thermo-Mechanical Fatigue (CTMF) tests for simultaneously simulating load conditions on hot and cold surfaces of cooled turbine parts, Refs [1, 2]. In contrary to standard Thermo-Mechanical Fatigue (TMF) testing methods, CTMF tests involve the interaction between hot and cold regions of the parts and thus more closely simulates the material behaviour in cooled gas turbine structures. The paper describes the methodology of CTMF tests and their application to typical load conditions in cooled gas turbine parts. Experimental results are compared with numerical predictions showing the advantages of the proposed testing method.