In thermal spraying processes, residual stresses mainly arise from two sources: (i) shrinkage of the sprayed particles after solidification (primary cooling process) and (ii) differences between the coating (alpha(c)) and substrate (alpha(s)) thermal expansion coefficients (secondary cooling process). In the present work, residuals stresses in plasma sprayed NiCrAl coatings, deposited at different thicknesses onto two steel substrates (AISI 1020 steel, alpha(c) > alpha(s) and AISI 304 stainless steel, alpha(c) < alpha(s)), have been theoretically predicted by mathematical expressions derived by Clyne and Gill, which only take into account the secondary cooling process. The residual stresses have also been experimentally determined by the curvature method and coating adhesion has been evaluated by tensile tests. Experimental results revealed that the average residual stress in the coating and the average residual stress at the interface are both tensile when alpha(c) > alpha(s) and alpha(c) < alpha(s). An agreement between the predicted and experimental residual stresses in the coating and at the interface was observed when alpha(c) > alpha(s); however, when alpha(c) alpha(s) such agreement was not found. Coating adhesion was found to decrease with increasing coating thickness, indicating a correlation between adhesion and average residual stresses at the interface instead of adhesion and average residual stresses in the coating. After annealing treatments for 10 h up to 1073 K, the average tensile residual stresses in the coating and at the interface increased for the NiCrAl/AISI 1020 steel composite system whilst a decrease was recorded for the NiCrAl/AISI 304 stainless steel system. Such opposite behaviours could be attributed to differences between the alpha(c) and alpha(s) values of both systems. These results indicate that post-annealing treatments in plasma sprayed coatings should be carried out taking into account the differences between the coating and substrate thermal expansion coefficients, especially to improve coating/substrate adhesion.