Microstructure and fracture surface morphologies were characterized for a cross-sectional plasma-sprayed Ni-Al alloy coating-mild steel substrate system by scanning electron microscopy, electronic probe microanalysis (EMPA) and transmission electron microscopy. The plasma-sprayed Ni-Al coating-steel substrate interface was found to be of pure metallurgical nature. The bonding layer consisting of Fe3Al closely relates to exothermic reactions from Ni and Al during spraying. Ni3Al, the product from the Ni-Al reaction, and Fe3Al kept a fixed crystallographic orientation relationship. From the coating-substrate interface toward the coating surface, the fracture mode changes from preferential interlamellar fracture, to intersplat cleavage fracture, and finally to quasi-cleavage fracture. The changes are thought to be related to the contact condition between splats. Microstructural changes observed through the coating thickness seem to be caused by the non-uniform cooling rate distribution.