Thermally sprayed (i.e. LPPS or HVOF) MCrAlY coatings are widely used for land-based gas turbine applications against high-temperature oxidation and hot corrosion. However, due to improvement of much further turbine efficiency, more dense and stable coatings are necessary. Hence, we applied “cold gas dynamic spray“ to the improvement. The cold gas dynamic spray makes it possible to dense coating, due to high speed particle impact during spraying. However, deposition mechanisms of cold spraying have not been elucidated yet. In this study, we investigated the deposition mechanisms focused on the behavior of interface between a coating and a substrate. The mechanisms were evaluated by 1) the spray impact phenomena simulation test, namely laser shock flier impact tests, and 2) TEM observations and EDX elemental analyses at the interface. From the results, thin reaction phase was found at the interface. The reaction phase may be involved in the particle deposition.