The basic concept of functionally gradient materials (FGM) is to fabricate materials type having possibilities of applications in various fields by changing their intrinsic properties with continuous gradient. The present communication has reviewed the developments and applications of various FGMs designed for improved thermo-mechanical properties, in which the thermal protective and wear resistant materials are especially focused. Effects of thermo-mechanical properties and limits of FGMs designed for high temperature applications were mainly understood in terms of residual stress evolved from the design and fabrication. In addition, FGMs applied in structural parts were also introduced and discussed in terms of typical fabrication method for FGMs.