Some of the recent research progress concerning the structure and properties of thermal sprayed coatings are reviewed. Structures of coatings are classified into three classes of hierarchy, i.e., layer structures, inter-splat structures and intra-splat structures. Important progress in the study and coatings development in each class is described. These include coatings developed to take advantage of the microstructure due to rapid solidification, such as amorphous and extension of solid state solubility, and characterization of porosity and how it is affected by process parameters. Then, stress generation during thermal spray is compared between plasma spray and HVOF spray. Particular attention is given to the importance of thermal and mechanical interactions of sprayed particles with the substrate and coating surface, which determine the nature of interlamellar bonding and that of microscopic stress.