The NiCrAlY powder particles of different sizes were used for high velocity oxygen-fuel (HVOF) spraying. The oxidation behavior at processing resulting in the oxide content inside sprayed coatings was investigated. Moreover, the powder passing through the HVOF flame was collected for the examination of the in-flight oxidation. The oxygen contents in coatings and collected powders were estimated by chemical analysis. It was found that the oxygen contents in the collected powders and coatings depended on the particle size. With decreasing in particle size, the oxygen content in the collected powders increased exponentially. The oxygen content inside the coating was approximately equal to that in the collected powders for the mean particle size of <50 μm. For large particles (>50 μm), there was a clear difference in the oxygen contents inside the coating and in the collected powders. This difference can be attributed to the post-impact oxidation of a splat. The results suggested that there are two essential oxidation mechanisms: an in-flight oxidation and a post-impact one. When the small particles are used, the in-flight oxidation determines the oxygen content in the coating. When large particles are used, the post-impact oxidation controls the oxygen content in the coating.