Al2O3p/40Cr graded composite was prepared by the squeeze casting method, and the as-cast structure, hardness, thermal shock properties of the composites were preliminary tested. The results show that the microstructure is compact and the grains of the matrix is small in the composite layer. Al2O3particles well-distributed in the 40Cr matrix in continuous trend. The Macro-interface of 40Cr substrate and composites layer transits naturally and has good continuity, moreover the micro-interface of Al2O3particles and the matrix is dense without any cavities. While the macrohardness decreases with the Al2O3content reduced gradually. At the 20°C~650°C condition of the cold and heat cycle, graded composites has superior thermal shock properties than uniform composite.