On the basis of analyzing the formation mechanism of thermal stress in coatings, according to practical thermal conditions and mechanical principle, the calculating model that can estimate thermal stress of coatings during fabricating process is established. Through observing the microstructure of coatings by SEM, the thermal mechanical behavior and its effect on the properties of coatings are studied. The results show that, in graded coatings, parameters of thermal mechanical behavior and fabrication stress change with the compositions. The largest stress exists in the bottom layer and the thermal stress decrease from the substrate to the surface. In graded coatings, the highest stress and the average stress are both lower in coatings. The gradient distribution of coatings' composition can effectively reduce thermal stress during fabrication process.