The thermal expansion of a thermally sprayed coating material is an important design-relevant property from both processing and application service points of view. High thermal stresses and residual strains can arise during deposition, and thermal exposure in service. The linkage to process conditions which can impact both physical and chemical attributes of the microstructure and consequently its expansion behavior is of great importance. The observed dilation response of various coatings is discussed based on the processing effects that induce differences in microstructural features and the impact of residual strain and annealing of defects on the dilation behavior during first thermal exposure. The coefficient of thermal expansion (CTE) of coatings was found to approach the bulk when the material is not sensitive to oxidation in-flight. For those materials sensitive to oxidation, mathematical models used to describe effective properties of composite materials were adopted to describe the CTE property. A large irreversible dilation change was found in the first heating cycle due to defect annealing (referred to as thermal shakedown). Several reasons are hypothesized for the magnitude of such dilation change. Together, the paper presents a comprehensive analysis of thermal expansion behavior of a diversity of thermal spray processed materials.