This paper presents the general theoretical analysis of three-dimensional mechanical and thermal stresses for a short hollow cylinder made of functionally graded material. The steady-state temperature, displacements, and stresses distributions are derived due to the general mechanical and thermal boundary conditions, as functions of radial, circumferential and longitudinal directions. The material properties vary continuously along the thickness direction according to power functions of radial direction. The temperature and Navier equations are solved analytically, using the generalized Bessel function and Fourier series. A direct method of solution of Navier equations is presented.