Thermal spray is a well-established, versatile method of producing protective and functional coatings. As with most thin- or thick-film structures, residual stresses developed during processing play an important role in determining the performance and life of sprayed coatings. Diffraction methods (X-ray or neutron) and in situ curvature measurement have been widely used to measure stresses nondestructively, yet results in coating stress measurements seen in the literatures are sometimes ambiguous or conflicting. This is due not only to the experimental error associated with the measurement and simplifying assumptions, but also the complexity and heterogeneity of the coating structure. During deposition, molten, semi-molten or solid particles successively impinge onto a substrate surface, thus forming a layered structure comprised of ‘splats,’ separated by interfaces, cracks and pores. In this study, X-ray micro-diffraction with a 2-D detector has been used to determine the stress magnitude of both splats and coatings on substrates. Neutron diffraction stress measurements have been made through the entire coating thickness. The process of depositing and cooling has been monitored by in situ curvature measurement. Micro- and macro stresses have been examined. The relation between process and splat and coating residual stresses has been evaluated and interpreted by recourse to microstructural and morphological observations under SEM. This study bridges the behaviors of microscopic single splats and macroscopic coatings, hence helps to fundamentally understand the stress generation during thermal spray process.