A generalized analytical solution of mechanical and thermal induced stresses in a multi-layer composite cylinder is presented. Based on the compatibility condition at the interfaces, an explicit solution of mechanical stress due to inner and outer surface pressures and thermal stress due to temperature change is derived. A finite element model is also developed to provide the comparison with the analytical solution. It was found that the analytical solutions are in good agreement with finite element analysis result. The analytical solution shows the non-linear dependency of thermal stress on the diameters, thicknesses and the material properties of the layers. It is also shown that the radial and circumferential thermal stresses depend linearly on the coefficients of thermal expansion of the materials and the temperature change. As demonstrated, this solution can also be applied to analyze the thermo-mechanical behavior of pipes coated with functionally graded materials.