This research aims to investigate the effects of employing cryo-milled and milled MCrAlY feedstock powders on the oxidation behaviour of low-pressure plasma sprayed (LPPS) and HVOF-sprayed coatings deposited onto a Ni-based superalloy substrate. Commercially-available powders with three different chemical compositions were selected and sprayed both in standard condition and after milling and cryo-milling processes. The LPPS and HVOF coatings, deposited onto an Inconel substrate, were diffusion-treated at 1080 °C (according to the industrial standard) and subjected to isothermal and cyclic oxidation tests. The outcomes of these tests show that transient oxidation is suppressed in the coatings obtained from milled MCrAlY systems, whose overall resistance to cyclic oxidation (number of cycles to failure) is approximately two times greater than that of standard coatings. This difference is not related to the nanostructural features induced on the powder particles by the milling process, because, after the diffusion treatment, all coatings exhibit identical γ-β two-phase microstructure, with no trace of the original nanostructure. The improvement is ascribed to the fine dispersion of nanometric Al2O3 grains within the milled powder particles: in the sprayed coatings, these nanometric oxides act as nuclei and favour the direct formation of an Al2O3 oxide scale.