In order to understand the mechanical behavior of layered composites with compositional gradient, it is necessary to determine their state of residual stresses. Compositionally graded materials can offer the advantage of eliminating abrupt changes in composition between layers having different thermal expansion coefficients. The existence of a compositional gradient may reduce discontinuities in thermal residual stresses, something beneficial from the point of view of the mechanical properties. We present here a study of the state of the residual stresses in a layered material made of thicker (several mm) homogeneous layers of alumina and alumina-20%zirconia separated by a thinner (less than 300 µm) intermediate graded alumina-zirconia layer, obtained by controlled deposition of powders from a solution using an electrophoretic deposition method. The thermal residual stresses generated during cooling after sintering were measured in the homogeneous layers at each side, and at steps of about 30 µm in the graded layer along the direction of the compositional gradient, by using fluorescence ruby luminescence piezo-spectroscopy. Results show that the hydrostatic stresses on alumina grains vary continuously, indicating the absence of discontinuities in thermal residual stresses along the compositionally graded layer and at the interfaces of the homogeneous layers.