In this paper, the formulae of transient temperature field and transient thermal stress field in an infinite sandwich plate with double-sided functionally graded coatings (FGM coatings) under the convective boundary condition are derived via an asymptotic solution approach. The thermo-physical properties of the two symmetrical graded coatings are assumed to have distributions of power forms along the thickness direction of the plate. Numerical calculations of transient thermal stresses for a TiC-Al2O3 FGM coating/Al2O3 substrate/Al2O3-TiC FGM coating system under different Biot numbers in cold shock are performed in contrast to a sandwich plate with homogeneous coatings and a homogeneous plate. The effects of the thermo-physical property distributions of the FGM coatings on the thermal shock resistance of the plate are analyzed. And consequently some design rules for the sandwich plate with FGM coatings are put forward, which may be used to design FGM coated cutting tools with high thermal shock resistance. (C) 2008 Elsevier B.V. All rights reserved.