ZrO2 powder and ZrO2+WO3 powder mixture were stacked, cocompacted, and cosintered in a cylindrical die, the processing steps commonly used to fabricate multilayer materials. The soak duration and the mass ratio among layers in the processing have been varied to yield a wide range of final sintered samples. At appropriate soak durations, the sintered samples resulted in continuous functionally graded materials (FGMs) made of ZrW2O8 and ZrO2. In other words, instead of the expected discrete, multiple-layered materials, the resulting samples are characterized by the axially, continuously varying physical properties. The continuous FGM structure is formed by several mechanisms: the balance between the reaction of ZrO2 and WO3 and the decomposition of ZrW2O8, as well as the sublimation and diffusion of WO3. The continuous FGMs can be utilized to reduce the thermal stress induced from a thermal gradient loading within a material system. This study shows that the processing steps typically used for multilayer FGMs can also be used to create continuous FGMs for some special material combinations.