This article presents an analytical method for thermoelectroelastic transient responses of orthotropic piezoelectric hollow cylinders subjected to arbitrary thermal shock and transient electric excitation. Using an interpolation method, the Volterra integral equation of the second kind caused by the interaction between thermoelastic field and thermoelectric field is solved. Thus, the exact expressions of the transient responses of displacement, stresses, electric displacement, and electric potential in the orthotropic piezoelectric hollow cylinder are obtained by means of Hankel transforms, Laplace transforms, and its inverse transforms. From sample numerical calculations, it is seen that the present method is suitable for an orthotropic piezoelectric hollow cylinder subjected to arbitrary thermal shocks and electric excitations, and the results obtained can be used as a reference to solve other transient coupled problems of thermoelectroelasticity.