Plasma sprayed coatings, thanks to their specific structure, are considered for applications with thermal shocks. Alumina, Alumina-Titania as well as less common spraying materials like mullite, forsterite and ilmenite were selected for testing. Carbon steel coupons were used as substrate. Flame-sprayed bond coats of Ni-Cr and Ni-Al under plasma sprayed ceramic coating were applied for comparison in selected cases. Two different regimes were used to simulate high and low temperature thermal cycling. Before the test and after given number of cycles coating's adhesion was tested by a standard tensile test (EN 582). After the test also the microstructure of samples was observed to evaluate the damage mechanism. It has been proved that Titania addition to Alumina improves the adhesion of coatings under thermal cycling, especially for the coatings without any bond coat. All materials had higher adhesion after each given number of cycles with bond coat than without. Cracking occurred dominantly on the boundary with the base in the case of pure Alumina and mullite while a cohesive cleavage is preferred in ilmenite and combination of both types is typical for other tested materials.