A finite difference model for the thermal analysis of the dynamic stochastic multiple particle deposition process of thermal spray was developed in this paper. Contrary to the traditional layer by layer deposition model, the thermal contribution of individual particles randomly distributed around the spray jet center was taken into account so as to simulate coating formation process. New material was dynamically added onto coating/substrate surface with prescribed gun movement. Latent heat effect was introduced by defining the enthalpy of the material as a function of temperature in order to take into account solidification induced phase change. Real thermal spray process can be simulated with adjustable particle size, spray deposition rate, velocity of gun movement, etc.