The experimental measurement of residual stresses originating within thick coatings deposited by thermal spray processes onto solid substrates plays a fundamental role in the preliminary stages of coating design and process parameters optimization. The main objective of the present investigation was to determine the residual stresses by means of the incremental hole drilling method in order to perform the measurement of the stress field through the thickness of two different HVOF Nickel-based coatings. The holes through the coatings were carried out by means of a high velocity drilling machine (Restan). A finite element calculation procedure was used to identify the calibration coefficients necessary to evaluate the stress field. The Integral method was used for the analysis of non-uniform through-thickness stresses. The results for both coatings indicate that the nature of the residual stresses is tensile and their values are between 150–300 MPa.