W/Cu functionally gradient material (FGM) has excellent mechanical properties since it can effectively relax interlayer thermal stresses caused by the mismatch between their thermal expansion coefficients. W/Cu FGM combines the advantages of tungsten such as high melting point and service strength, with heat conductivity and plasticity of copper at room temperature. Thus it demonstrates satisfactory heat corrosion and thermal shock resistance and will be a promising candidate as divertor component in thermonuclear device. Owing to the dramatic difference of melting point between tungsten and copper, conventional processes meet great difficulties in fabricating this kind of FGMs. A new approach termed graded sintering under ultra-high pressure (GSUHP) is proposed, with which a near 96% relative density of W/Cu FGM that contains a full distribution spectrum (0-100%W) has been successfully fabricated. Suitable amount of transition metals (such as nickel, zirconium, vanadium) is employed as additives to activate tungsten's sintering, enhance phase wettability and bonding strength between W and Cu. Densification effects of different layer of FGM were investigated. Microstructure morphology and interface elements distribution were observed and analyzed. The thermal shock performance of W/Cu FGM was also preliminarily tested.