The present study intends to analyze damage in thin-walled steel cylinders undergoing constant internal pressure and thermal cycles through use of anisotropic continuum damage mechanics (CDM) model coupled with nonlinear kinematic hardening rule of Chaboche. Materials damage in each direction was defined based on plastic strain and its direction. Stress and strain distribution over wall-thickness was described based on the CDM model and the return mapping algorithm was employed based on the consistency condition. Plastic zone expansion across the wall thickness of cylinders was noticeably affected with change in internal pressure and temperature gradients. Expansion of plastic zone over wall-thickness at inner and outer surfaces and their boundaries demarking elastic and plastic regions was attributed to the magnitude of damage induced over thermo-mechanical cycles on the thin-walled samples tested at various pressure stresses.