Thermally sprayed coatings are often anisotropic due to their manufacturing processes. However, identification of anisotropic properties is very difficult not only because of such material systems but also their small scales. The present work present a new procedure based on nano-indentation technique and inverse analysis to characterize transversely isotropic elastic-plastic coatings. In particular, it uses Kalman filter, which processes the indentation measurements to extract unknown material parameters. This procedure employs load-penetration records of two indenters, spherical and Berkovich. An advantage of this method is that it requires minimum specimen preparations and the measurement procedure is straightforward. APS NiAl coating is indented and their records are used to estimate its anisotropic factors. The results support the effectiveness of the new procedure.