An analytical thermal stress calculation and an in situ thermal stress measurement are developed at low temperatures (from room temperature to liquid helium temperature) on a cylindrical specimen made from an inner bulk niobium wall and a copper alloy VPS coating. This kind of structure is proposed for superconducting cavities in order to reduce the cavity frequency shift due to Lorentz forces. Since the superconducting cavity works at liquid helium temperature (below 4 K) and the niobium thermal expansion ratio is very different from the thermal expansion ratio of copper, thermal stress evaluations during the cool down are necessaries. The experimental approach consists in two series of measurements, the first series of measurements is performed at bulk niobium, bulk copper and thermal sprayed copper since the use of strain gage at liquid helium temperature is unknown from the manufacturer and the behaviour of the strain gage on the copper alloy coating is also unknown, the thermal compensation of strain gage from helium temperature to room temperature is imperative. Then the strain measurements are realized at inner surface (bulk niobium substrate) and outside (copper alloy VPS coating) of the cylindrical specimen. The analytical calculation takes into account non linear thermal expansivities of the materials, the calculated prediction of thermal stress is verified by measurement, a first observation on the copper alloy coating thermal expansion behaviour at low temperatures is established. Key words: thermal spray coating, thermal stress calculation and measurement, liquid helium temperature, superconducting radiofrequency cavities stiffening