The influence of the high velocity air fuel (HVAF) sprayed coating on the fatigue behavior of the low alloy steel was studied at different stress levels. It was observed that only one single main crack initiator existed in the substrate after fatigue at low stress levels, but there were multi-cracks on the substrate surface at high stress level. Detailed investigations showed that the cracks in the HVAF coatings sinuously extended to the interface and deflected thereat along the interface. Consequently, free-standing coating was formed due to its limited bond strength to the substrate and the lower elastic modulus than that of the substrate. The gap between the free-standing coating and the substrate surface was found to be correlated with the stress level. The high stress can greatly degrade the adhesion to the substrate causing the delamination of the coating. The cracks in the HVAF coating had no significant effect on the fatigue life of the substrate.