With the development of composite material technology, the multi-field coupling analysis of functionally graded (FG) structures has attracted extensive attention. For FG cylindrical pressure vessels, due to the non-uniform distribution of stresses filed in the structure, plastic deformation occurs irreversibly under external load, and Lorentz's force under static magnetic field is also one of the key factors affecting the elastoplastic state. Assuming that the elastic modulus of FG cylinder changes as a power function along the thickness and Poisson's ratio is constant, the hollow cylinder under the combined action of applied magnetic field and internal pressure may have four deformation states containing pure elastic deformation, partial plastic deformation yielding from the inner surface, partial plastic deformation yielding from the outer surface, and full plasticity. In this paper, analytical solutions of stress and displacement fields of the FG cylinder under these four different elastoplastic states are given, and the critical load conditions corresponding to the transition between these four different states are proposed. The correctness of the present analytical solution in this paper is verified by comparing it with the existing results of related simplified problems. In addition, the analytical solution of residual stress distribution caused by unloading internal pressure is discussed for self-reinforcing processing. Based on the analytical solution in this paper, the influence of FG parameter, applied magnetic field and internal pressure on the elastoplastic state, plastic zone size, stresses and displacements distribution of FG cylinder is analyzed in detail. This study shows that for this magneto-elastoplastic problem of FG cylinder, plastic deformation may appear from the inner surface or outer surfaces. With the increase of FG parameter, the first yielding position of FG cylinder changes from the inner surface to the outer surface. In addition, the existence of an applied magnetic field reduces the critical internal pressure required for FG cylinders to yield, making the FG hollow cylinder more prone to plastic deformation.