The design idea of FGM was used for fabricating the plasma-sprayed ZrO2-based coatings on stainless steel substrates (1Cr18Ni9Ti) with the aim to reduce the thermal residual stresses developed both during fabrication and during service. The residual stress field and working stress field were calculated based on the thermal elasticity-plasticity theory and finite element analysis of thermal-mechanical coupling, which offers basic data for prediction and design of material systems. Specimens with linear composition distribution between bond coat and ZrO2 surface layer were fabricated. The thermal shock performance test and high-temperature fatigue performance test were conducted. The phase analysis and microstructure of the specimens before and after tests were investigated with XRD and SEM respectively. Two optimum combination of bond coat composition and thickness of surface layer of ZrO2 on the stainless steel substrate were selected.