Residual stress in high velocity oxy-fuel (HVOF) thermally sprayed WC-10Co-4Cr coating was studied based on design of experiment (DOE) with five factors of oxygen flow, fuel gas hydrogen flow, powder feed rate, stand-off distance, and surface speed of substrate. In each DOE run, the velocity and temperature of in-flight particle in flame, and substrate temperature were measured. Almen-type N strips were coated, and their deflections after coating were used for evaluation of residual stress level in the coating. The residual stress in the coating obtained in all DOE runs is compressive. In the present case of HVOF thermally sprayed coating, the residual stress is determined by three types of stress: peening, quenching, and cooling stress generated during spraying or post spraying. The contribution of each type stress to the final compressive residual stress in the coating depends on material properties of coating and substrate, velocity and temperature of in-flight particle, and substrate temperature. It is found that stand-off distance is the most important factor to affect the final residual stress in the coating, following by two-factor interaction of oxygen flow and hydrogen flow. At low level of stand-off distance, higher velocity of in-flight particle in flame and higher substrate temperature post spraying generate more peening stress and cooling stress, resulting in higher compressive residual stress in the coating.