A mathematical model of heat generation due to friction in a disc–pad braking system was developed with consideration of a thermal barrier coating (TBC) on the friction surface of the disc. The coating was made of functionally graded material (FGM). The three-element geometrical scheme of the system consisted of two homogeneous half-spaces (pad and disc) and a functionally graded coating (FGC) deposited on the friction surface of the disc. It was assumed that the frictional heat generated on the coating-pad contact surface was absorbed to the insides of friction elements along the normal to this surface. Thermal contact of friction between the coating and the pad as well as the heat contact between the coating and the substrate were perfect. On the basis of such assumptions, the thermal friction problem was formulated, and its exact solution was obtained for constant and linearly descending specific friction power over time. For the first case, the asymptotic solutions for small and large values of time were also found. A numerical analysis was performed on an example of the system containing a metal ceramic (FMC-11) pad, sliding on the surface of a FGC (ZrO2–Ti-6Al-4V) applied on a cast iron (ChNMKh) disc. It was established that the application of a TBC made of FGM on the surface of a disc could effectively reduce the level of temperature achieved during braking.