In this paper, five grading functional gradient lattice structures with a different density perpendicular to the loading direction were proposed, and the surface morphology, deformation behavior, and compression properties of the functional gradient lattice structures prepared by selective laser melting (SLM) with Ti-6Al-4V as the building material were investigated. The results show that the characteristics of the laser energy distribution of the SLM molding process make the spherical metal powder adhere to the surface of the lattice structure struts, resulting in the actual relative density of the lattice structure being higher than the designed theoretical relative density, but the maximum error does not exceed 3.33%. With the same relative density, all lattice structures with density gradients perpendicular to the loading direction have better mechanical properties than the uniform lattice structure, in particular, the elastic modulus of LF, the yield strength of LINEAR, and the first maximum compression strength of INDEX are 28.99%, 16.77%, and 14.46% higher than that of the UNIFORM. In addition, the energy absorption per unit volume of the INDEX and LINEAR is 38.38% and 48.29% higher, respectively, than that of the UNIFORM. Fracture morphology analysis shows that the fracture morphology of these lattice structures shows dimples and smooth planes, indicating that the lattice structure exhibits a mixed brittle and ductile failure mechanism under compressive loading. Finite element analysis results show that when the loading direction is perpendicular to the density gradient-forming direction, the higher density part of the lattice structure is the main bearing part, and the greater the density difference between the two ends of the lattice structure, the greater the elastic modulus.