The thermomechanical behavior and the distribution of residual stresses due to thermal spraying of NiCoCrAlY coating were studied by thermomechanical finite element analysis. The effects of phase transformation due to solidifying process of coating particles, thickness and material properties of coating on the residual stresses were discussed. Results showed that residual stress decreases little with the stress relaxation due to the phase transformation. For the substrates with the same thickness, the residual stress increases with the increase in coating thickness. The state of residual stresses relates to the material properties of coating and substrate closely. The stress-induced failure model of coating is also discussed.