This paper describes the preliminary thermal and stress analyses of a novel coated dual pipe system with microstructure configuration under thermo-mechanical loading using a sequentially coupled simulation procedure. The influence of key parameters on the temperature and stress distribution of the system is also investigated. The results show that the protective coating layer contributes to the effective reduction in the surface temperature of the primary steel pipe, but thermal stresses generated due to the significant temperature gradient have a significant impact on the structural integrity of the system. The hoop stress in the system is much larger than the radial stress, and the maximum hoop stress is located at the peak of the TGO/BC cosine interface near the TGO side. In addition, the thickness of the TC, the thermal expansion coefficient of the TC, the temperature and pressure of the cooling steam determine the temperature and stress distribution of the system.