To increase the carrying capacity of hydrostatic extrusion cylinder, sleeve structure was used to offer pre-stress on the inner cylinder by heat interference fit. The stress distribution along the thickness and relationship between thickness combinations and interference gap were studied by finite element method during design of sleeve structure applied in hydrostatic extrusion cylinder. The results show that, for any thickness combinations, as the interference gap increased, the maximum value of equivalent stress first increased and then decreased. The maximum value of equivalent stress located at the inner surface for both inner cylinder and outer cylinder, and as the thickness of inner cylinder increased, the value of equivalent stress at inner surface of inner cylinder increased and that at the inner surface of outer cylinder decreased. In the circle direction sleeve structure leads to compressive stress on the inner cylinder and tensile stress on the outer cylinder. After full loading for inner cylinder, tensile stress caused by internal pressure in the circle direction was offset by pre-stress. When the interference gap and thickness of inner cylinder were 0.15 mm and 35 mm respectively, the value of equivalent stress at inner surface of both inner cylinder and outer cylinder were the same and lowest.