Different mechanisms of development of the substrate-coating adhesion during thermal spraying are considered. One of the most important is mechanical interlocking formed chiefly due to roughness of the substrate surface, high pressures developed upon the droplet impact and solidification of the lower part of the splat. Possible deformation of the substrate surface and rebounding of the impinging droplets are considered. Thermal mechanisms involving partial or complete melting and subsequent solidification in the substrate interfacial region is shown to be effective in creation of the adhesive bonds. The role of the diffusion processes and the influence of the splat morphology on adhesion is discussed. Mechanisms of splashing of droplets impinging onto the substrate surface during thermal spraying and their influence on the coating-substrate adhesion are considered. Roughness of the substrate surface is shown to be critically important to obtain good adhesion. Transition temperature is shown to exist which determines the splat morphology on the smooth surface of the substrate. With a "cold" substrate when its initial temperature is less than the transition temperature the splashing occurs. When the substrate initial temperature exceeds the transition one a regular splat is formed. The theoretical results agree well with the observed behaviour of the thermal spray coatings and in the case of the thermal mechanisms of adhesion these results are in a good agreement with the experimental data.