Due to the difference of thermal expansion coefficient between the components in the solid oxide fuel cell (SOFC), there are some residual thermal stresses in the cell in fabrication. Introducing the functional gradient layer is an effective technique to relieve the residual thermal stress in fabrication. The residual thermal stress and failure probability were calculated by a commercial package named ANSYS. The effects of gradient distribution factor n, sublayers number w in the gradient layer and gradient layer thickness H on the thermal residual stress and failure probability were investigated. The results show that the functional gradient layer can reduce the stress and failure probability in the cell. The increase of the number of sublayers w has little effect on the decrease of the stress and failure probability when the w number exceeds 2. The optimum w number of sublayers is 2. When the gradient distribution factor n is small, the anode failure probability decreases with the increase of gradient layer thickness. In addition, the gradient parameter for the composition functionally graded anode layer was also optimized.