Understanding powder adhesion mechanism in cold spray is primordial to control the coating formation. Previous studies have suggested that metallic coatings are governed by metallurgical bonding, but no consensus has been established regarding the bonding mechanisms of ceramic particles. In this study, the deposition mechanism of agglomerated gallium nitride (GaN) particles cold sprayed on stainless steel substrates was investigated. The evolution of the oxide layer thickness and coating/particle microstructures were analyzed by X-ray photoelectron spectroscopy and transmission electron microscopy. The results revealed that although mechanical interlocking and coating thickness were enhanced by the substrate surface roughness, grain refinement was not the key factor for the brittle particle deposition, considering the diameter of the nano-sized particles. Instead, a new interfacial oxide layer was formed because of the destruction and removal of native oxide films upon impact. Local heteroepitaxy, which occurred near the interface of the newly formed gallium oxide, enhanced the coating formation. Compared with the GaN feedstock, the coating exhibited boundary amorphization and a high dislocation density induced by the high strain rate. Thus, this study proposed considerable insight into the formation mechanisms of cold-sprayed GaN coatings, which can support a more expanded range of ceramic/metal combinations in the future.