Pressure vessels covered with overlaying layer or coating are widely applied due to its strong heat resistance, corrosion resistance, and load-carrying capacity. However, limited work has been reported on investigating the thermomechanical behavior of a pressure vessel with a functionally graded material (FGM) coating. In this study, a closed-form analytical solution was first derived for calculating the stress distribution in a pressure vessel with an FGM coating subjected to an internal pressure and a thermal load. Afterwards, a numerical solution was also established for validating the analytical solution using finite element (FE) method. It was found out that the analytical solution agreed well with the numerical ones, and the thermomechanical properties of FGM coating were also discussed in detail. This work would be helpful for better understanding and scientific design of pressure vessels with an FGM coating or related thin-walled structures.