In this paper, the behavior of functionally graded material hollow cylinders with an elliptic hole under thermal and mechanical loads is investigated. The problem is considered as plane strain condition, and to obtain the governing equations and boundary condition for this complex geometry, an elliptic cylindrical coordinate is used. The material properties are considered to vary along the elliptic cylindrical direction with power-law function except for the Poisson's ratio. To solve the two coupled differential equations, differential quadrature method is used. For solving the governing equations, two different boundary conditions are considered for thermal and mechanical loads. The results show that unconventional shape for a hole in the cylinder can affect the results expected such as stresses or displacements, and this information about thermo-mechanical loads can be used for designing the advanced sensors. Also with considering special material index, the stress and displacement along the cylinder can be controlled. The presented results in this paper are verified with those reported in the previous publication.