The effect of coating structure, material composition on thermal shocking property of plasma sprayed Sm2Zr2O7/NiCoCrAlY functional graded thermal barrier coatings were researched by finite element method. Results show that radial thermal shocking stresses decrease suddenly and axial thermal shocking stresses transform from compressive-stress to that of pulling-stress at the edge of sample; Radial thermal-shocking stresses increase gradually from bottom to surface of the coating, and they decrease gradually with increasing of coating layers; Material compositions have almost no effect on thermal-shocking property, the 1357 coating has the most excellent thermal-resistance.