Functionally graded materials, which have the extremely reductionability of thermal stress for temperature difference and/or different material constants, have been expected for various energy system components used at high temperatures. Until now, the functionally graded materials to apply to various energy apparatus have been developed. Thermal barrier coatings (TBCs) had been already applied to hot-section parts of gas turbine such as a bucket and a combustor. Nowadays, the multi-layered developments concerning to the high durability TBCs have been conducted concerning to the coating processes such as plasma spraying and electron beam physical vapor deposition. Moreover, a tungsten/copper graded component produced by sintering and infiltration method was developed as a heat sink material against high heat flux such as plasma. A functionally graded material of zinc oxide system was developed for the nonlinear element with a high surge energy absorption capability. Also, a tungsten/copper graded coating was developed by using low pressure plasma spraying as electric arc resistant coatings.