With the modified Almen method, the forming and development process of residual stress in a thermal sprayed coating has been obtained. The test results identify that the residual stress in a coating is depend on coating material properties, technique and coating thickness. The paper pays much attention to the hysteresis between the coating temperature and residual stress in the coating or between the applied stress and the strain of the coating, and confirms that the fact is resulted from the"Gas Fix" character of a thermal sprayed coating.