Three different methods, plasma spraying, infiltration-welding method and resistance sintering under ultra-high pressure, have been developed to fabricate W/Cu FGM based plasma facing components. SEM analysis showed that good grading composition of all FGM samples had been obtained. Water quenching and electron, or laser beam test facilities have been utilized to investigate and compare thermal shock behavior and performance under high heat load. It is found that the grading at the interface between W and Cu is very effective for the reduction of thermal stress. W/Cu FGM fabricated by infiltration-welding method has the best thermal shock resistance among these three kinds of W/Cu FGM.