Thermally sprayed coatings can be used in structural health monitoring devices where the coatings can reveal defects in the real-time integrity of the component through changes in mechanical, thermal or modal properties during service. In this emerging application, the mechanical properties of the coating are strongly affected by the interfacial bond between the coating and the substrate. This paper presents an analytical study of the interfacial stress distribution based on piezoresistive-stress constitutive relation of a coating layer. Both a single layer coating- and a bilayer coating-substrate system were considered. An analytical solution of the interfacial stress was developed by solving a Fredholm-Volterra singular integro-differential equation of a coating-substrate model using Chebyshev polynomials. Numerical simulation was conducted to analyze the effects of geometric and effective material properties of the coating-substrate system on the interfacial stress distribution. It was found that the susceptibility of the piezoresistive layer to delamination primarily relies on thicknesses of the coating layers and the stiffness of the intermediary insulating layer and substrate.