In this work, the bonding mechanism between Cu particle and substrates of Mg, Cu and stainless Steel (SS) was investigated by the direct observation of bonding interface on detached particle and substrate crater. In the cases of Cu/Cu and Cu/SS, dimple-like fractures were found on the detached Cu particle and substrate crater for the first time. Accompanying with EDS line scan and mapping results, such dimple fractures can be considered as the signs of strong metallurgical bonding. However, the bonding interface in case of Cu/Mg is smooth without signs of metallurgical bonding. Finite element analysis results revealed a ring of high contact pressure zone on the surface of particle and substrate, which is exactly the place where metallurgical bonding was observed. It can suggest that the high contact pressure zone is the dominant factor for the formation of metallurgical bonding on the oxide-free interface. The evolution of maximum contact pressure in different cases shows that the substrate hardness plays an important role during the single particle bonding. The present study provides a profound insight into the bonding mechanism of a single cold sprayed particle, which can give the guidance to the full deposition of cold sprayed coating.