The thermal stress problems of functionally graded materials (FGMs), as one of the advanced high-temperature materials capable of withstanding the extreme temperature environments, are discussed. The FGMs consist of the continuously changing composi tion of two different materials. For example, one is an engineering ceramic to resist the severe thermal loading from the high-temperature environment, and the other is a light metal to maintain the structural rigidity. When the FGMs are subjected to extremely severe thermal loading, large thermal stresses are produced in the FGMs. Therefore, one of the most important problems of FGMs is how to decrease thermal stresses and how to increase heat resistance. The optimal composition profile problems of the FGMs in decreasing thermal stresses are discussed in detail. When FGMs are subjected to extremely severe thermal loading, the FGMs are damaged. The crack initiates on the ceramic surface and propagates in the FGMs. It is important to discuss the thermal stresses in the FGMs with various types of cracks. The thermal stress intensity factors in the FGMs with various types of crack are treated analytically and numerically. The optimal composition profile problems of the FGMs in decreasing thermal stress intensity factor are studied. Finally, the crack propagation paths due to thermal shock are discussed.