An exact solution of the boundary-value problem of heat conduction was obtained with consideration of heat generation due to friction and convective cooling for the strip/semi-space system. Analytical solutions to this problem are known for the case with both friction elements made of homogeneous materials or a composite layer with a micro-periodic structure. However, in this study, the strip is made of a two-component functionally gradient material (FGM). In addition, the exact, asymptotic solutions were also determined at small and large values of the Fourier number. By means of Duhamel’s theorem, it was shown that the developed solution for a constant friction power allows to obtain appropriate solutions with a changing time profile of this value during heating. Numerical analysis in dimensionless form was carried out for the FGM (ZrO2—Ti-6Al-4V) strip in combination with the cast iron semi-space. The influence of the convective cooling intensity (Biot number) on the temperature field in the considered friction system was investigated. The developed mathematical model allows for a quick estimation of the maximum temperature of systems, in which one of the elements (FGM strip) is heated on the friction surface and cooled by convection on the free surface.