While depositing Fe-Al intermetallic powders by applying a gas detonation spraying (GDS), a certain coating structure containing oxide ceramics is created. This multiphase structure exhibits both extreme mechanical resistance and unusual thermophysical properties (TPs). One such property is a relatively low thermal conductivity. A possible GDS structure application as the thermal barrier needs precise determination of TP dependence on temperature and high-temperature stability of the coating structure. In the present study, TPs were investigated for a coating produced from Fe-40Al at.% intermetallic powder in a course of complex measurements including differential scanning calorimetry analyses, laser flash thermal diffusivity measurements, and dilatometric studies complemented with microstructural analyses. The study resulted in a full characterization of the investigated TPs such as the density, thermal expansivity, heat capacity and thermal conductivity. Simultaneously with the TP studies, microstructural analyses were conducted that resulted in the identification of four phases, i.e., Fe3Al, FeAl, Al2O3 and (Fe,Al)(3)O-4, within the investigated coating. During thermal analyses, the phenomenon of a sensitivity of TPs due to the temperature exposure of the investigated coating was revealed and characterized. The obtained results complement the sparse literature data on TPs of the multiphase pseudo-composite FeAl intermetallic/oxide type structures obtained in the GDS.