This work presents finite element analysis (FEA) and results for rolling contact of a cylindrical roller on an elastic substrate coated by functionally graded material (FGM). The rolling process and the graded coating material property and layers arrangement are modeled using finite element codes which lead to a new methodology. This novel methodology provides a trend in determining surface contact stresses, deformations, contact zones, and energy dissipation through the contact area. Effects of stiffness ratio, friction, and exponentially variation of material property on the contact stresses and deformations are studied. Some of the results are verified with analytical solutions. The study results may be beneficial in graded coated cylindrical components analysis against rolling contact failure and wear.