Complexity, wide size ranges, and anisotropy are attributes that can describe porous microstructures of thermally sprayed deposits, which present especially difficult challenges for characterization techniques. A number of different methods have been utilized and found to be useful while having significant limitations. Therefore, scientists and engineers need to understand the advantages, limitations, and disadvantages of each technique. This very short review attempts to present a wide range of characterization tools—from frequently employed optical and scanning electron imaging techniques, through intrusion porosimetry, to lesser-used x-ray and neutron imaging and scattering techniques. It will be shown that no technique in itself is sufficient and that a properly selected combination of techniques is necessary to get a sufficiently complex characterization method. A really powerful and capable characterization protocol may need to combine fast and accessible (“in-house”) tools with sparingly applied advanced scattering and imaging techniques. Such a combination of techniques can then be utilized to research the processing-microstructure-properties relationships as well as to provide sufficient data for development of successful models.