Plasma sprayed tungsten coatings are considered as potential candidates for materials in contact with the plasma in future fusion reactors. In this work, the thermal shock resistance of these coatings is studied to determine which of five changed deposition parameters most influences the coating's performance. The thermal shocks were generated with a pulsed electron beam gun. The pulse duration was 0.2 and 0.5 s and the absorbed power density 60 MW/m2. Two series of samples were analyzed. One was plasma sprayed at atmospheric pressure (AP) and the other at low pressure (LP). The LP coatings were deposited on a molybdenum alloy (TZM). AP coatings were deposited on molybdenum and on water cooled copper coupons for fatigue tests. The porosity seems to be a positive factor for thermal shock resistance. The thickness of the coatings and the spraying atmosphere were found to strongly influence the thermal shock resistance. In the case of the fatigue test, some coatings withstood up to 1000 shocks of 0.5 s duration.