The magneto-electro-elastic (MEE) medium is a typical intelligent material with promising application prospects in sensors and transducers, whose thermal contact response is responsible for their sensitivity and stability. An effective thermal contact model between a moving sphere and a coated MEE medium with transverse isotropy is established via a semi-analytical method (SAM) to explore its thermal contact response. First, a group of frequency response functions for the magneto-electro-thermo-elastic field of a coated medium are derived, assuming that the coating is perfectly bonded to the substrate. Then, with the aid of the discrete convolution–fast Fourier transform algorithm and conjugate gradient method, the contact pressure and heat flux can be determined. Subsequently, the induced elastic, thermal, electric and magnetic fields in the coating and substrate can be obtained via influence coefficients relating the induced field and external loads. With the proposed method, parametric studies on the influence of the sliding velocity and coating property are conducted to investigate the thermal contact behavior and resulting field responses of the MEE material. The sliding velocity and thermal properties of the coating have a significant effect on the thermal contact response of the MEE material; the coupled multi-field response can be controlled by changing the coating thickness between ~0.1 a0 and a0.