AbstractA thermally sprayed coating consists of multiple layers of different materials, that is, topcoat, bondcoat, and substrate. These three layers form two different junctions, namely, topcoat–bondcoat, and bondcoat–substrate. The residual stress state in two different materials in the interfaces was investigated using a systematic X‐ray diffraction‐based procedure consisting of phase and stress analysis. A transfer of residual stress from one material to the other was found to take place at the interfaces. The residual stress state of the topcoat influenced the stress field of the bondcoat, whereas the residual stress of substrate was affected by the stress state of the bondcoat at the interfaces. It was also perceived that the residual stress field along the depth of a multilayer coating system can be measured using a single X‐ray target with a proper investigation procedure, eliminating the need of using different X‐ray sources for different materials. It was found that the residual stress from one material transfers to another, and in the process, clamping of one surface by the other takes place at multiple locations throughout the surface. This is how mechanical interlocking between two layers takes place. Thus, the result can provide a basic understanding on the micro‐mechanism of coating adhesion.