The functionally graded materials (FGMs) are obtained by various processes. While a few FGMs are obtained naturally, such as oyster, pearl, bamboo, etc, additive manufacturing (AM), known as 3D printing, is a net-shaped manufacturing process employed to manufacture complex 3D objects without tools, molds, assembly, and joining. Currently, commercial AM techniques mostly use homogeneous composition with simplified geometric descriptions, employing a single material across the entire component to achieve functional graded additive manufacturing (FGAM), in contrast to multi-material FGAM with heterogeneous structures. FGMs are widely used in various fields due to their mechanical property advantages. Because FGM plays a significant role in the industrial production, the characteristics and mechanical behaviour of FGMs prepared by AM were reviewed. In this review, the research on FGMs and AM over the past 30 years were reviewed, suggesting that future researchers should focus on the application of artificial intelligence and machine learning technologies in industry to optimize the process parameters of different gradient systems.