Cold Gas Dynamic Spraying is a relatively new high rate deposition process that uses a supersonic gas flow to accelerate fine powder particles (micron size) above a critical velocity. Upon impact, the particles deform plastically and bond to the substrate to form a coating. In this study, nanocrystalline Al-Mg coatings are produced using the Cold Spray technology. In an attempt to improve the understanding and optimize the process, the effects of substrate preparation and substrates thickness on the overall quality of the coatings are investigated. Two different grit materials are used to prepare the substrates with simple grit-blasting. Results show that the use of different grit sizes leads to changes in the mass deposited on the substrate (deposition efficiency) but has no significant effect on the coating microstructure. Other trials are conducted on samples of different thickness to verify the applicability of the Cold Spray process on thin surfaces. Results show that the Cold Spray process can be used to produce coatings on thin surfaces without noticeable damage to the substrate and with the same coating quality.