The three dimensional heat transfer and thermal stresses of a steel cooling stave in a blast furnace are modeled and analyzed. The temperature in a thermal stress field of cooling stave is calculated by using the finite element method software ANSYS. The radiation heat transmitted from solid materials (coke, ore, and flux) to inner surface of the cooling stave is neglected in the computational analysis. In this analysis two different types of lining materials are taken. These are the silicon carbide brick and high alumina brick. These lining materials are used at different loads, i.e., gas temperature from 773 K to 1573 K, as well as stave with skull is used at this gas temperature. Different assumptions and boundary conditions are taken in modeling as well as in analysis. Kinds of parameters are taken for the heat transfer analysis of cast steel cooling stave in a blast furnace. The water temperature is chosen as 303 K. The results indicate that the maximum temperature and thermal stress of hot face are highest in silicon carbide brick and lowest in high alumina brick. The peel stress and von Mises stress are calculated. The result indicates that the silicon carbide brick is better, so that it can withstand various circumstances which affect the life of the cooling stave and the blast furnace. Therefore the suitable lining for the stave is the silicon carbide brick.