The high velocity oxy-fuel (HVOF) spraying process has been employed for applying engineering coatings on various industrial parts and components. Recently, post-spray treatments have been widely used to improve the overall quality of sprayed coatings, especially those applied by the HVOF process. In the latter case, thermally-assisted surface treatment of as-sprayed coatings is a critical factor to enhance the properties of the coated parts for specific applications. The present work is a review of the improvement of HVOF spray coatings, focused on different types of post-spray treatments.