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Residual stress was measured on plasma sprayed crystalline Ni Al, Al2O3 and amorphous Al2O3 TiO2 ZrO2 CeO2 single splats, by using an incremental focused ion beam (FIB) micron-scale ring-core method (IμRCM). Tensile residual stress exists in polycrystalline Ni Al splats, where the quenching stress is only partially relaxed by edge curling and through-thickness yielding. Significant compressive stress was observed for the amorphous Al2O3 TiO2 ZrO2 CeO2 splats, where viscous flow above the glass transition temperature completely relaxed the quenching stresses without micro-cracking. Comparatively lower compressive stress was measured on crystalline Al2O3 splats, where, in spite of extensive micro-cracking, not all of the tensile quenching stress was relaxed. Using stress data and micro-crack geometry, the intrinsic shear adhesion strength of Al2O3 splats was calculated, giving insights into the role of (sub)micron-scale phenomena on adhesion/cohesion of thermally sprayed coatings. The proposed stress build-up mechanisms and relaxation phenomena are supported by a TEM microstructural analysis of the splats. The experimental methodology developed provided a unique way for the study of the residual stress build-up mechanisms in amorphous and crystalline single splats obtained by plasma spraying, and gave further insights into the actual micro-scale phenomena that give rise to adhesion and nano-mechanical behavior of thermally sprayed coatings. The proposed approach is also expected to find a wide range of applications in materials science and engineering, as it allows for the residual stress measurement even on amorphous materials with micrometer spatial resolution.