Multi-layer pressure vessels are widely used in every field of high pressure technology. For the purpose of enhancing a vessels’ load bearing capacity, a beneficial process like shrink-fit is usually employed. However, few documents on optimum design for multi-layer shrink-fit vessels made of different strength materials can be found, available data are mainly on two-layer vessels. In this paper, an optimum design approach is developed for shrink-fit multi-layer vessels under ultrahigh pressure by using different materials. Maximum shear stress theory is applied as design criteria. The inner and outer radii of a multi-layer vessel, as well as the material of each layer, are assumed to be known. The optimization mathematical model is, thereby, built. Lagrange multipliers method is required to obtain the optimal design formula of wall ratio (ratio of outer to inner radii) of each layer, from which the optimum formulas of shrinkage pressure and radial interference are derived with the superposition principle employed. These formulas are applicable for the optimization design of all multi-layer vessels made of different materials, or same materials. The formulas of the limit working pressure and the contact pressure show that the optimum wall ratio of each layer and limit working pressure are only related to all selected material strength and unrelated to the position of the layer placement in the vessel. However, shrinkage pressure is related to the position of the layer placement in the vessel. Optimization design of an open ended shrink-fit three-layer vessel using different materials and comparisons proved that the optimized multi-layer vessels have outstanding characteristics of small radial interference and are easier for assembly. When the stress of each layer is distributed more evenly and appropriately, the load bearing capability and safety of vessels are enhanced. Therefore, this design is material-saving and cost-effective, and has prospect of engineering application.