This work is aiming to present an analytical method to study the dynamic behavior of thermoelastic stresses in a finite-length functionally graded (FG) thick hollow cylinder under thermal shock loading. The thermo-mechanical properties are assumed to vary continuously through the radial direction as a nonlinear power function. Using Laplace transform and series solution, the thermoelastic Navier equations in displacement form are solved analytically. The solution of the displacement field in the FG cylinder is obtained in the Laplace domain. Also, the fast Laplace inverse transform method (FLIT) is employed to transfer the results from Laplace domain to time domain. The effects of thermal shock loading on the dynamic characteristics of the FG thick hollow cylinder are studied in various points across the thickness of cylinder for various grading patterns of FGMs. A good agreement can be seen in the comparison of the obtained results based on the presented analytical method with published data.