The need for combined high-temperature insulation and load-bearing functions under large temperature gradient conditions imposes new demands on functionally graded composite materials. Herein, a ceramic-polymer continuous gradient composite was prepared by a polymer-derived ceramic route using a custom-designed induction heating system. The gradient composite was subjected to six impregnation-crosslinking-pyrolysis cycles to obtain a 55-mm-long gradient layer with varying density (1.76–1.43 g/cm3). The compositions of the gradient matrix varied from amorphous SiCN ceramics to silicon resin from top to bottom, satisfying the gradient change rule. The gradient material had good thermal insulation and reusability with a heat flux of 0.3 MW/m2 for 10 min. The resin layer has the minimum compressive strength of 68 MPa. This material could serve as a transition material for connecting a high-temperature zone (≥1000 °C) with a low-temperature one (≤350 °C).