Researchers have developed various modeling techniques to study the response problems of FGMs under the thermal shock loading. In these traditional modeling methods, each interlayer of FGMs is usually simplified into an isotropic layer. Under this simplification, almost all the characteristics of FGMs in micro scale are neglected and it is impossible to obtain the responses in micro scale. However, it is well known that the responses in micro scale, especially for thermal stresses, are important to the explanation of the initiation and propagation of the micro damage. For the purpose of the design and application of FGMs, microscopic analysis is requisite. In this paper, CMM is applied to analyze the responses of FGMs under the thermal shock loading in micro scale. Essentially, this method is a FE analysis method based on the real microstructure of FGMs. The geometry models used in this method come from SEM images of the corresponding FGM samples. A simple and efficient method is applied to generate FE grids from geometry models. The generated models can reflect the real microstructure of FGMs in detail. Finally, FE grids are employed to analyze the responses of FGMs under the thermal shock loading and the thermo- mechanical responses in micro scale are obtained. Moreover, the problem is also analyzed with the traditional method. From the numerical results and discussions, conclusions are summarized as following: (1) CMM is efficient for the microscopic response analysis of FGMs under the thermal shock loading; (2) the temperature field calculated by CMM is basically consistent with the one calculated with the traditional method; (3) the stress field calculated with CMM is very complex and quite different from the stress field calculated with the traditional method.