In the present work, bi-layer Alloy-718/NiCrAlY was deposited on grey cast iron substrate by using high velocity oxy-fuel (HVOF) thermal spray coating process. The deposited coating was subjected to microstructure studies, microhardness, high-temperature oxidation and erosion test. The average microhardness of the Alloy-718 coating was found to be 563 ± 15 HV0.2, which is about 2.5 times higher than that of the substrate. The oxidation test was carried out at 900 °C for 50 cycles in a laboratory tube furnace. The one oxidation cycle was comprised of 1 h heating at 900 °C followed by cooling of 20 min in ambient air. The erosion behaviour of the coated and uncoated specimens was investigated at 800 °C using a high temperature air-jet erosion test rig, at impact angles of 30° and 90°, respectively. The mechanism of material removal in the eroded samples was determined by using scanning electron microscopy images of the eroded surfaces. The test results revealed that the Alloy-718 coating offered superior protection to the grey cast iron substrate from oxidation and erosive wear at high temperature. The increased oxidation resistance can be attributed to the formation of favourable oxides such as Cr2O3, Al2O3, and TiO2 in the coating. The microcutting and the formation of craters caused by the repetitive impacts of erodent particles were identified as the mechanisms of material loss from the surface of coating during the erosion testing conducted at 30° and 90° impact angles. The higher hardness along with the formation of Cr2O3 and Al2O3 as stable oxides have contributed in the enhanced erosion performance of the bi-layer Alloy-718/NiCrAlY coating as compared to the substrate.