We analyze the characteristics of a coaxial‐to‐waveguide transition based on the finite difference time domain (FDTD) method with the cylindrical to rectangular cell interpolation scheme. The scheme presented in this paper is well suited for the analysis of a microwave device with a probe near waveguide discontinuity because perfect TEM mode can be generated inside the coaxial cable by using the cylindrical cell. The scattering parameters of a designed Ka‐band transition are evaluated and compared with those of commercially available software, High Frequency Structure analysis Simulator (HFSS) and measured data. There exists good agreement between the measured and calculated data. In order to prove an accuracy of the interpolation scheme, a coaxial to waveguide transition with a disk‐loaded probe is analyzed by the present approach and the results of this analysis are compared with measured data. Comparison shows that our results match very closely to those of measurement and other approaches. The method presented in this paper can be applied to analyze the characteristics of a probe excited cavity, coaxial waveguide T‐Junctions, and so on.