Properties of thermally sprayed coatings, including residual stress, are controlled by various parameters of the spraying process. This study is focused on three thermal spraying techniques with significantly different particle temperatures and velocities. These are plasma spraying, twin wire arc spraying and high velocity oxy-fuel spraying. For each method, in-flight particle diagnostics was performed. Through-thickness residual stress profiles in Ni+5%A1 coatings on steel substrates were determined nondestructively by neutron diffraction. The stresses range from high tensile in the plasma sprayed coating to compressive in the HVOF one. Various stress generation mechanisms, including splat quenching, peening, and thermal mismatch, are discussed with respect to process parameters and material properties.