The new features of the light localization along the graded-index substrate covered by the cladding characterized by a self-focusing nonlinearity are described theoretically. In the model of nonlinearity the dielectric function in substrate depends linearly on the distance from the cover-substrate interface. The optical characteristics of Kerr type positive nonlinear response in the cover is changed abruptly with an increasing light intensity. The light intensity distribution in across interface direction described by exact solution to nonlinear wave equation is calculated and analyzed. It is found that increasing the width of the graded-index layer leads to a shift in the position of the maximum intensity. The intensity maximum appears in the graded-index substrate after the effective refractive index reaches the critical value. The thickness of nonlinear near-surface layer, which is formed after the light intensity reaches the critical value, monotonically decreases with increasing width of the graded-index layer. The possibility of realizing a multimode regime of the light propagation, which can be realized with an increasing width of the graded-index layer and it is characterized by a deep penetration of the light field into the substrate, is derived. The possibility of control the distribution of the light power between the cover and substrate by change in the effective refractive index and the width of the graded-index layer is described.