The finite element method was used to analyze the distribution of residual thermal stress of the TaC/TaC-Mg/Mg gradient coating on magnesium alloy ZK60. The effects of the number and thickness of gradient layers and deposition temperature on the residual stress were investigated. The results showed that the maximum residual thermal stress (112 MPa) of the TaC/TaC-Mg/Mg gradient coating was reduced by 67.2% and 66.1% compared to the TaC monolayer and TaC/Mg bilayer coatings, respectively. When the number of TaC-Mg gradient layers increased from 1 to 8, the gradient coating’s maximum radial stress increased by 3.3%, while the maximum axial stress and shear stress showed the trend of increasing after decreasing, with the number of layers being 3, the maximum residual stress was the smallest. Expanding the gradient layer’s thickness from 0.25 μm to 1.5 μm, the maximum values of radial stress, axial stress, and shear stress decreased by 16.6%, 47.6%, 32.4%, respectively. However, when the thickness continued to increase to 2.0 μm, the increase in the maximum value of the residual thermal stress was less than 8%. The thickness of the adhesive layer Mg had a small effect on the residual stress, but the residual stress increased linearly with the increase of deposition temperature.