•A fully coupled thermo-elastic contact model of coated systems is developed.•The complex thermo-mechanical interaction is considered.•Elastic properties and thermal expansion coefficient can vary with temperature.•Material properties can vary arbitrarily along the depth direction of the coating. This paper aims to develop a novel model to solve the coupled thermo-elastic sliding contact problems of coated systems. The elastic properties and thermal expansion coefficient are allowed to vary arbitrarily with temperature. The complex thermo-mechanical interaction is also considered. Additionally, there exists no limitation on the spatial distributions of thermo-elastic properties along the direction of coating thickness. Taking the thermal strain as an eigenstrain, the spatial gradient and thermo-induced change of elastic properties are depicted through the inhomogeneous inclusion theory. The resulting disturbance fields are calculated using the equivalent inclusion method. Subsequently, the thermo-elastic contact pressure is solved via the conjugate gradient method in combination with the contribution of friction-induced temperature rise to surface deformation. Based on the developed model, some parametric studies are conducted to discuss the effects of sliding velocity, friction coefficient, and material inhomogeneity on contact responses.