Thermal and cold spraying encompasses a great variety of techniques for deposition of fully or partially molten or cold particles of material to produce coatings with a specific microstructure and properties for the purpose of surface enhancement. Among the many factors influencing sprayed coating integrity, residual stress is very important since it will be the driving force for possible crack propagation and consequent coating failure. The very complex physical processes occurring during coating deposition make first principles treatment difficult. A number of empirical models have been proposed to predict and describe quantitatively the stress distribution in the coating/substrate system. However, there are a limited number of experimental measurements on through-thickness stress distribution and for only a few materials and few spraying techniques, to validate any model and to define its area of applicability. Several metal and ceramic coatings produced by different spraying techniques were measured by means of neutron diffraction. Through-thickness stress profiles were obtained and treated in the frame of the empirical progressive coating deposition model. The comparison between experimental and simulated results is discussed.