The thick functionally graded material (FGM) circular cylindrical shells with advanced varied shear correction coefficient and third-order shear deformation theory (TSDT) under advanced thermal vibration are studied by the method of generalized differential quadrature (GDQ). The coefficient of displacement model of TSDT is applied to derive the equations of motion for the thick FGM circular cylindrical shells. The stiffness in simpler forms of thick FGM circular cylindrical shells and temperature rise in linear expression of the heat conduction equation are used. The differential equations in dynamic equilibrium state of thick FGM circular cylindrical shells can be obtained and rewritten into displacements and shear rotations in partial derivative expressions under dynamic thermal loads in partial derivative expressions. Parametric effect studies including advanced nonlinear varied shear correction coefficient, nonlinear coefficient c1 value, power law index and thermal temperature difference of external heating loads on the displacements and stresses of thick FGM cylindrical shells under thermal dynamic vibration are investigated.