Graded structures may be found in ordinary engineering materials from former days; however, if one has begun to tailor the intentional gradient of composition and/or microstructure in a material in order to achieve the desired functions and properties, the material is known as a Functionally Gradient Material (FGM). The FGM has great potential for applications in many fields by using gradient on chemical, biochemical, physical and mechanical properties. This paper briefly describes the concept of FGM, with special reference to the large progress of research works on thermal barrier materials where the role of thermal stress relaxation function has been emphasized. Powder metallurgical processing of this type of FGM is reviewed on the basis of recent activities.