To combine the merits of both metals and ceramics into one material, many researchers have been studying the deposition of alumina coating using plasma spray on metal substrates. However, as the coatings are deposited at a high temperature, residual thermal stresses develop due to the mismatch of thermal expansion coefficients of the coating and substrate and these are responsible for the initiation and expansion of cracks, which induce the possible failure of the entire material. In this paper, the residual thermal-structural analysis of a Fe3Al/Al2O3 gradient coating on carbon steel substrate is performed using finite element modelling to simulate the plasma spray. The residual thermal stress fields are obtained and analyzed on the basis of temperature fields in gradient coatings during fabrication. The distribution of residual thermal stresses including radial, axial and shear stresses shows stress concentration at the interface between the coatings and substrate. The mismatch between steel substrate and composite coating is still the dominant factor for the residual stresses.