Thermally sprayed coatings have residual stresses due to the processing techniques where the particles go through thermal softening / melting, high velocity impact and rapid solidification. The nature and magnitude of residual stresses in these coatings determine the bond strength and failure mechanisms. This investigation thus involves a non-destructive neutron diffraction residual stress evaluation of suspension high-velocity oxy-fuel (S-HVOF) thermal sprayed alumina and YSZ coatings onto 304 stainless steel substrates. SHVOF spray is a high deposition efficiency process to deposit coatings from sub-micron or nanometric feedstock particles. Neutron diffraction measurements were performed at the UK ISIS facility, using ENGIN-X pulsed neutron diffractometer to obtain through thickness residual stress profiles. The Z-scanning method was used to avoid pseudo-strains in the neutron diffraction measurements near the coating surface whereby the incident neutron beam/gauge volume was partially submerged and traversed vertically out of the horizontal coating surface. The residual stress in the alumina coating was compressive across the whole thickness while the stress changed from tensile to compressive in the YSZ coatings. The residual stress measurements were complemented by lab based X-ray diffraction residual stress measurement techniques. Depth sensing indention of the coatings were also performed to gain a comprehensive understanding of the stresses in SHVOF sprayed ceramic coatings.