Shape memory alloys (SMAs) are kinds of smart materials that have superior properties such as shape memory effect and superelasticity, which have the most potential applications in various fields, especially in aerospace, naval, automobile and biomedicine industries, etc. Nevertheless, the inherent natures of shape memory alloys are characterized by the smaller transformation temperature intervals and transformation stress intervals, which make the devices have poor control ability. To achieve the accurate controllability for progressive movement, creating functionally graded shape memory alloys has been adopted. Herein, the classification, fabrications, microstructural features, and performances of functionally graded shape memory alloys are reviewed. For comparison, the creation of various gradients in shape memory alloys can widen the transformation temperature intervals and transformation stress intervals to some extent. In addition, the formation of the compositional, microstructural, or geometrical gradient also contributes to the generation of excellent performances such as the four‐way shape memory effect, higher strength, and larger temperature window for the stress‐assisted two‐way shape memory effect, etc. Such superior functions promote a wider application range of shape memory alloys.