Application of FGM concept for thermal barrier coatings (TBC) provides a superior thermal stress relaxation over homogeneous or duplex coatings. It was demonstrated that FGM TBC have better oxidation resistance and longer lifetime during test conditions. In this work, new FGM TBC system was designed using high-velocity oxygen flame (HVOF) coating process. After coatings optimisation, coating layer was subjected to a hot burner test for thermal fatigue cycling with increasing heat load. It was found that FGM TBC has successfully withstood thermal cycling and prevented visible delamination or transverse cracks. New coating design may give an opportunity to develop a cost-effective FGM TBC system for gas turbine applications.