For the first time, potassium sodium niobate (KNN)-based lead-free piezoelectric ceramic coating with strong piezoelectric response was fabricated on stainless steel substrates by thermal spray process, after introducing NiCrAlY and yttria-stabilized zirconia (YSZ) intermediate layers. A large effective piezoelectric coefficient (d(33)) of 125 pm/V was obtained with the thermal-sprayed KNN-based ceramic coating on the steel substrates. The mechanisms of improving the structure and enhancing the properties of the KNN-based piezoelectric ceramic coatings by introducing the intermediate layers were analyzed. Ultrasonic transducers were designed and fabricated from the KNN-based coatings directly formed on a steel plate structure, and the feasibility for generation and detection of ultrasonic waves for structural health monitoring using the thermal-sprayed lead-free piezoelectric ceramic coating was demonstrated.