Cylindrical rotating components have been of special interest in different industries and due to their wide applications such as grinding wheel, drive shaft; the analyses of elastic and plastic stress and strains have been an interesting topic for investigation. Therefore, in this study an analytical elastic and elasto-plastic solution to evaluate the stress field in axisymmetric thick-double-walled cylindrical hollow shafts made of functionally graded materials and homogeneous layers subjected to pressure, temperature gradient, and angular speed are presented. In the first step, by considering the combined different loading condition, a closed-form analytical thermo-elastic solution for radial and circumferential stresses as well as the normalized effective stresses are presented. Then, the starting radius of the plastic deformation by using a completely elastic solution and a failure criterion is determined. In the second stage, the relations for determining the plastic zone radius as well as the radial, circumferential, and effective stresses in both elastic and plastic zones are obtained for three types of functionally graded layers under different combined loading condition. Finally, it will be shown that by using the functionally graded layer, the stress distribution and consequently the yield pattern in the thick-double-walled cylindrical hollow shaft can be improved.