Hydroxyapatite (HA) and bioglass (BG) ceramics have become of prime importance in bone tissue engineering. Besides the appropriate composition, the microstructure of bone replacement plays a crucial role. In the present work, particle composites and functionally graded material (FGM) based on HA and BG prepared by electrophoretic deposition were thoroughly characterised in terms of the preparation method, sintering process, phase composition and microstructure. The sintering was monitored by high-temperature dilatometry in two directions, the sintering rates were calculated, and the overall sintering process was discussed. The SEM showed the continuous change in the microstructure of FGM with gradual interconnected porosity favourable for bio-applications. The fundamental fractographic analysis proved the crack development in FGM related to the sintering process, and the recommendations for the reduction of the crack development were given. The phase transformations during thermal treatment were analysed using X-ray diffraction analysis and deeply discussed.