Plasma sprayed CoNiCrAlY coating can prevent oxidation and corrosion of turbine blades in a gas turbine plant. Cracking and delamination of coatings are affected by the residual stresses in the coatings. In this study, the arising mechanism of residual stress in the plasma sprayed coating was discussed. The residual stresses in CoNiCrAlY coatings were measured by X-ray diffraction method. The coatings were deposited by either low pressure plasma spraying (LPPS) or atmospheric plasma spraying (APS). Each elastic constant which was used for determining the X-ray stress constant was mechanically measured by a bending test. Two kinds of substrates were prepared for each coating in order to examine the effect of thermal expansion coefficient of a substrate. Results were as follows. The residual stresses of the coatings on steel substrates were tensile. On the other hand, the residual stresses on stainless substrates were lower than those on steel substrates. Arising mechanism of the residual stresses can be explained by both the linear expansion coefficient and the range of changing temperature. It was also found that the absolute residual stresses were affected by the spraying powder size and increased with a decrease of the spraying powder size. It was principally caused by the difference in the elastic constants.