In the article the stress-strain state of thick-walled structurally anisotropic composite cylindrical shells under thermal power load, which are protected by a functionally graded material, are analysed. Based on the interrelations of the spatial theory of elasticity, a system of inhomogeneous differential equations in three-dimensional formulation, which describes the stress-strain state of thick-walled anisotropic cylindrical shells, was obtained. To reduce the dimensionality of this system, the Bubnov-Galerkin analytical method was used. Thus, the obtained one-dimensional system of twelve equations of normal Cauchy form was implemented using the numerical method of discrete orthogonalization. To represent the possibilities of the proposed approach, there were used stress-strain states of two, four and five-layered anisotropic cylindrical shells of fibrous composites, protected from temperature by a layer of transversely isotropic functionally graded material.