Adhesion is one of the most important parameters which influences the development of thermal spray coatings. Therefore, the level of adhesion should be known for a given application. Apart from the standardized Tensile Adhesive Test (TAT), more than 80 methods are reported to measure the coating adhesion. Most of them are energy consuming in terms of time, cost and equipment. Moreover, they do not fulfil the necessary requirements of accuracy, confidence and representation of the real delamination process observed in service. To address this problem, the interfacial indentation test is used here to initiate and propagate a crack at the interface between the substrate and the coating. Studying the extension of the crack, an interfacial toughness is defined and deduced analytically from the experimental results. The new shear test, developed in the frame of the EU-CRAFT-project “Shear Test for Thermally Sprayed Coatings”, is also employed to assess the coating adhesion. Both tests are compared to the standardized TAT for various spraying systems, materials, substrate roughness and coating thickness. Advantages and disadvantages of the three tests are discussed. Correlations between the tests results obtained for different coating–substrate combinations are presented and general trends are described.