Microscopic and macroscopic residual stress measurements and a finite element method (FEM) for stress analysis of thermal spray coatings have been carried out to investigate the residual stress generation mechanism. The residual stresses of one splat, laminated two splats and coatings were measured by a micro-beam x-ray stress measurement system and the macroscopic residual stresses were measured in-situ by the curvature change of the thin substrate plate during and after spraying. Two coating materials were employed in this study to deposit the coatings. One is molybdenum of which the coefficient of thermal expansion (CTE) is smaller than that of steel substrate and the other is 80%Ni-20%Cr alloy which has higher CTE than steel. The substrate was preheated up to 550°C just before spraying. The residual stresses of the splat and a coating are fundamentally the same level. The FEM analysis on the residual stress was also useful and by the comparison of two measurement results of microscopic and macroscopic residual stresses, the generation mechanism was discussed.