An analytical method is presented to solve the problem of transient wave propagation in a transversely isotropic piezoelectric hollow sphere subjected to thermal shock and electric excitation. Exact expressions for the transient responses of displacements, stresses, electric displacement and electric potentials in the piezoelectric hollow sphere are obtained by means of Hankel transform, Laplace transform, and inverse transforms. Using Hermite non-linear interpolation method solves Volterra integral equation of the second kind involved in the exact expression, which is caused by interaction between thermo-elastic field and thermo-electric field. Thus, an analytical solution for the problem of transient wave propagation in a transversely isotropic piezoelectric hollow sphere is obtained. Finally, some numerical results are carried out, and may be used as a reference to solve other transient coupled problems of thermo-electro-elasticity.