Within Surface and Coating Technologies, the High Velocity Oxy-Fuel (HVOF) thermal spray process generates significant peening stresses due to the impact at high velocity of semi molten particles onto the substrate. The level of high kinetic and thermal energy of impinging particles is a key-parameter to understand how residual stresses build up through the whole system during spraying, and to which extend these stresses influence the resulting coating adhesion strength. While an appropriate combination of thermal and peening stresses is beneficial to the deposit bonding, no systematic study has been carried out to determine their respective amplitudes. A numerical Finite Element Analysis (FEA) has been developed to isolate peening stresses from thermal stresses developed into the substrate target, after successive impacts of single particle. The investigation is performed on Inconel 718 feedstock material HVOF sprayed on Inconel 718 substrate. The relationship between the developed stress state at the substrate interface and the impinging particle temperature and velocity is given a particular interest.