Neutron diffraction is a promising tool for the investigation of residual stresses in thermally sprayed coatings. In principle, the neutron diffraction method has several distinct advantages over other methods. 1) It is possible to perform triaxial stress analysis throughout the thickness of both the coating and the substrate without material removal. 2) The stress can be determined in all phases of a multi-phase coating. 3) Repeated measurements can be performed on mechanically or thermally fatigued specimens. 4) Stress concentrations and shape/edge effects in actual parts can be located. In this paper, these unique capabilities will be reviewed first. In the second part of the paper it will be shown how the analysis of these coatings differs from experimental analysis of bulk materials. Finally, the analysis of the stress distribution in plasma sprayed NiCrAlY and ZrO2+Y2O3 thermal barrier coatings in as-sprayed and annealed states will be presented and discussed.