In general, the fuel weight of a missile is a predominant part of its total weight. Yet more essential is that, in the whole flight process of a missile, turns will consume a lot of fuel. Therefore, in this paper, the problem of turn is studied in order to determine a minimum-fuel trajectory. In this paper, the optimal control theory is used as a basis and the second-order gradient algorithm is applied to determine numerical solutions iteratively. According to the derivations using the optimal control theory, the flight trajectory of a missile may be decomposed into three types of arcs, i.e., boosting arc, singular arc, and coasting arc. For a minimum-fuel problem with a set of given initial conditions and final conditions, the whole trajectory of missile may be composed of these three arcs. Hence, at the joint of two different arcs, the determination of constraint conditions and the switching time is a very important problem. In order to validate the theoretical analysis, a set of typical aerodynamic coefficients of missile is adopted as an example of numerical computations.