The aim of this experimental study was to ascertain the fatigue failure modes of thermal spray coatings in rolling/sliding contact. These failure modes outline the design requirements of thermal spray coatings for high-stress tribological applications including impact and point or line contact loading. Recently, a number of scientific studies have addressed the fatigue performance and durability of thermal spray coatings in rolling/sliding contact, but investigations on the mechanisms of these failures are seldom reported. The understanding of such failure mechanisms is, however, critical in optimizing the generic design of these overlay coatings. This study takes a holistic approach to summarize the results of ongoing research on various cermet (WC-Co) and ceramic (Al2O3) coatings deposited by detonation gun (D-Gun), high-velocity oxyfuel (HVOF), and high-velocity plasma spraying (HVPS) techniques, in a range of coating thickness (20–250 µm) on various steel substrates to deliver an overview of the various competing failure modes. Results indicate four distinct modes of fatigue failure in thermal spray cermet and ceramic coatings: abrasion, delamination, bulk failure, and spalling. The influences of coating process, thickness, materials, properties of substrate materials, and prespray conditions on these fatigue failure modes are also discussed. A modified four-ball machine was used to investigate these failure modes under various tribological conditions of contact stress and lubrication regimes in conventional steel and hybrid ceramic contact configurations. Results are discussed in terms of pre- and post-test surface examination of rolling elements using scanning electron microscopy (SEM), electron probe microscopy analysis (EPMA), and surface interferometry, as well as subsurface observations using x-ray diffraction (XRD), residual stress analysis, and dye-penetrant investigations.