There's a difference between feeling grateful for someone and their knowing it. The first costs nothing and changes nothing outside your own head.
Most appreciation dies in that gap. You think warmly about a colleague who covered for you, and then the thought moves on, unspent. They never learn they were carried in someone's mind for a moment.
Said out loud, it has to be specific or it just sounds like manners. *Thanks for everything* lands nowhere. *You caught that mistake before the client did* lands somewhere.
Someone's already come to mind. Tell them the specific thing.