As an important supporting structure in underground engineering, the lining is continuously exposed to harsh environments, such as high temperature and shock. This study takes lining and soil as the thermoelastic mediums of the Lord–Shulman model to investigate the transient responses of a cylindrical lining in thermoelastic mediums under the action of ramp-type heating. By considering the effects of thermal contact resistance and thermal wave impedance of the lining–soil interface, a discontinuous interfacial model was built for the lining–soil interface by adopting a thermal contact resistance model and the reflection and transmission principles of thermal waves. Based on the Laplace transform and its inversion, the solution of the dynamic response of the lining–soil system under the action of ramp-type heating was then obtained. The influences of the thermal contact resistance, thermal wave impedance ratio, thermal conductivity ratio, and specific heat ratio on the temperature increment and displacement were also explored. The comparison of the calculated results with the existing ones verifies the correctness of the results in this study.