This paper studies the optimization problem of composition distribution of functionally graded material (FGM) coating subjected to steady heat flux loading. The investigation object of the paper is an infinite plate substrate with FGM coating in the surface. The materials are heated at the ceramic surface (upside) with a steady high-intensity heat flux input, and cooled at the metal surface (underside) with flowing liquid nitrogen. The thermal stress distribution and the temperature distribution are obtained by formulation. For optimization, the design variables are the thickness of each interlayer and the volume fraction distribution of the coating. The objective function is the danger coefficient and the restricted condition is the total thickness of FGM plate and heat insulation coefficient. In the paper, three different optimization schemes are considered and compared. The mu GA and related parameters are discussed in detail. Optimizing the thermal stress distribution and minimizing the danger coefficient are carried out by mu GA. The optimization results of composition distribution are gained, and the results show the optimum composition distribution can distinctly reduce the danger coefficient.