Autofrettage is a metal working process of inducing compressive residual stresses in the vicinity of the inner surface of a thick-walled cylindrical or spherical pressure vessel for increasing its pressure capacity, fatigue life, and stress-corrosion resistance. The hydraulic autofrettage is a class of autofrettage processes, in which the vessel is pressurized using high hydraulic pressure to cause the partial plastic deformation followed by unloading. Despite its popularity, the requirement of high pressure makes this process costly. On the other hand, the thermal autofrettage is a simple method, in which the residual stresses are set up by first maintaining a temperature difference across the thickness of the vessel and then cooling it to uniform temperature. However, the increase in the pressure carrying capacity in thermal autofrettage process is lesser than that in the hydraulic autofrettage. In the present work, a combined hydraulic and thermal autofrettage process of a thick-walled cylinder is studied using finite element method package ABAQUS® for aluminum and SS304 steel. The strain-hardening and Bauschinger effects are considered and found to play significant roles. The results show that the combined autofrettage can achieve desired increase in the pressure capacity of thick-walled cylinders with relatively small autofrettage pressure. For example, in a SS304 cylinder of wall-thickness ratio of 3, an autofrettage pressure of 150 MPa enhances the pressure capacity by 41%, but the same pressure with a 36 °C higher inner surface temperature than outer surface temperature can enhance the pressure capacity by 60%.