A time-dependent third-order shear deformation theory (TSDT) approach on the displacements of thick functionally graded material (FGM) conical shells under dynamic thermal vibration is studied. Dynamic equations of motion with TSDT for thick FGM conical shells are applied directly with the partial derivative of variable R*θ in the curve coordinates (x, θ, z) instead of y in the Cartesian coordinates (x, y, z) for thick FGM plates, where R* is the middle-surface radius at any point on conical shells. The generalized differential quadrature (GDQ) numerical method is used to solve the dynamic differential equations in equilibrium matrix forms under thermal loads. It is the novelty of the current study to identify the parametric effects of shear correction coefficient, environment temperature, TSDT model, and FGM power law index on the displacements and stresses in the thick conical shells only subjected to sinusoidal heating loads. The physical parts with values on the length-to-thickness ratio equals 5, and 10 FGMs can be used in an area of an airplane engine that usually operates near more than 1000 K of temperatures when the thermal stress is considered and affected. The important findings of the presented study are listed as follows. The values of normal stress are in decreasing tendencies with time in cases when the coefficient c1 equals 0.925925/mm2 in TSDT and length-to-thickness ratio equals 5. The shear stress values in x plane z direction on the minor middle-surface radius (r) equals the major middle-surface radius (R) over 8 and length-to-thickness ratio equals to 5 can withstand T = 1000 K of pressure.