A plasma-sprayed thermal barrier coating (TBC) was deposited on a stainless steel substrate. The residual stresses were firstly measured by moiré interferometry combined with a cutting relaxation method. The fringe patterns in the cross-section of the specimen clearly demonstrate the deformation caused by the residual stress in thermal spray coatings. However, restricted by the sensitivity of moiré interferometry, there are few fringes in the top coat, and large errors may exist in evaluating the residual stress in the top coat. Then, the nanoindentation technique was used to estimate the residual stresses across the coating thickness. The stress/depth profile shows that the process-induced stresses after thermal spray are compressive in the top coat and a tendency to a more compressive state toward the interface. In addition, the stress gradient in the substrate is nonlinear, and tensile and compressive stresses appear simultaneously for self-equilibrium in the cross-section.