In this paper, applying the conjugate gradient method to solve the linear optimal control problem is discussed. In the optimization theory, the conjugate gradient method is an efficient computational approach for solving the unconstrained optimization problem, specifically, for quadratic case. Since the linear optimal control problem consists of the quadratic cost function and the linear dynamical system, the practical application of the conjugate gradient method to this kind of problem would be addressed. In our study, the necessary conditions for optimality for the linear optimal control problem are highlighted. Then, the equivalent optimization problem is formulated and the gradient function, which is given by the stationary condition, is evaluated. On this basis, the search direction, which satisfies the conjugacy, is determined definitely. During the iterative procedure, the control sequence is calculated such that the state sequence could be obtained. Once the convergence is achieved, the optimal solution of the linear optimal control problem is obtained. For illustration, the optimal control of damped harmonic oscillator is discussed. The results obtained show the efficiency of the approach used. In conclusion, the application of the conjugate gradient method to linear optimal control problem of the damped harmonic oscillator is highly presented.