Recently emerging wear resistant HVOF-sprayed ceramic coatings have already been proven to possess superior mechanical and tribological properties compared to conventional plasma-sprayed ones. In order to apply such dense ceramic coatings over steel components, the stress stages and distribution must be controlled. Coatings on AISI 1040 steel substrates were manufactured by H₂-fuelled HVOF torch using commercial fused and crushed Al₂O₃ and Cr₂O₃ powders and agglomerated nanostructured Al₂O₃ powder. Stress formation during coating build-up and final residual stresses after cooling were monitored by in-situ curvature sensor, assessing curvature-temperature relations. Stresses in the coatings surface layers were also measured by X-ray diffraction. By dissolving the substrate in HCl+HNO₃ solution and measuring the free-standing coating curvature, a significant stress gradient was found in Cr₂O₃ coating. Gradients were more precisely measured by hole-drilling method. Results obtained by different measurement techniques were compared and discussed in the paper. Stresses were also compared to those measured on atmospheric plasma sprayed Al₂O₃ and Cr₂O₃ manufactured with similar commercial powders.