An analysis of a coupled plane thermoelastic problem for a graded orthotropic coating-substrate structure is performed under thermomechanical loading conditions. The crack direction is parallel to the free surface. Applying the superposition principle and Fourier integral transform, the heat conduction and plane elasticity equations lends themselves to the derivation of two sets of Cauchy-type singular integral equations. The thermal stress intensity factors are defined and evaluated. In the numerical results, the effects of the orthotropy parameters, thermoelastic non-homogeneity parameters, and dimensionless thermal resistance on the temperature distribution and the thermal stress intensity factors (TSIFs) are studied. The obtained results can be used to design graded orthotropic coating-substrate structures under thermomechanical loading.