The concepts and classification are brought forth for the strong-discontinuous interface, the weak-discontinuous interface, the micro-discontinuous interface and the all-continuous interface. The mechanical model is established for the dynamic fracture problem of the weak-discontinuous interface between a FGM coating and a FGM substrate. The Cauchy singular integral equation for the crack is derived by integral transform, and the allocation method is used to get the numerical solution. Analysis of the numerical solution indicates that the weak discontinuity is an important factor affecting the SIFs of the interfacial crack. To reduce the weak discontinuity is beneficial to the decrease of the SIFs. Contrast between the solution of the weak-discontinuous interface and that of the micro-discontinuous one shows that the micro-discontinuity is a kind of connection relation of mechanical property better than the weak discontinuity for the coating-substrate structure. To make the interface be micro-discontinuous is helpful to enhance the capacity of the functionally gradient coating-substrate interface to resist dynamic fracture. The first rank micro-discontinuity is enough to reduce the SIFs notably, however, the higher-rank micro-discontinuous terms, which is equal to or higher than the second rank, have less effect on the SIFs. In addition, the thickness of the coating and the substrate and the applied peel stress are also important factors affecting the dynamic SIFs.