Thermoelastic transient response of multilayered annular cylinders of infinite lengths subjected to known inner pressure and outer surfaces cooling are considered. A method based on the Laplace transformation and finite difference method has been developed to analyze the thermoelasticity problem. Using the Laplace transform with respect to time, the general solutions of the governing equations are obtained in transform domain. The solution is obtained by using the matrix similarity transformation and inverse Laplace transform. Solutions for the temperature and thermal stress distributions in a transient state were obtained. It was found that the temperature distribution, the displacement and the thermal stresses change slightly as time increases.