Solid Oxide Fuel Cell is known as the most promising power generation technologies in the 21st century because of its high efficiency and zero pollution. For the multi-level thermal capacity lag and the strong interference of SOFC thermal management system, an effective control method (cascade control) is presented to solve it in this paper. The method is a good solution to the problems such as slow response and too long regulation time caused by the multi-level thermal capacity lag, and it also can effectively inhibit the interference caused by the load fluctuation. The simulation results illustrate the effectiveness of the control method.