Deposition characteristics determine the effectiveness of plasma spraying. In this paper, the different deposition mechanisms related to the spraying of Cr2O3, Al2O3, and Al2O3-40%TiO2 onto aluminum alloy substrates are analyzed; in this manner, we investigate the coating morphology as well as the temperature and stress fields within coatings made of these particles. When spraying is performed, the sputtering phenomenon of particles on the substrate and the stress within the coating gradually disappears as the substrate temperature and stress increase when the external stress reaches the order of 40 MPa from zero and the temperature reaches 400 K. It is found that the thermal effects of the Al2O3 coating on the substrate were the largest of the materials investigated here, and the thermal effects of the Cr2O3 and Al2O3-40%TiO2 coatings were relatively small. The multiparticle deposition model was found to be consistent with the experimental particle morphology obtained via metallographic and SEM methods; the simulations were thus found to accurately represent the state of and mechanisms behind the deposition processes. By comparing the different deposition behaviors of different particles on the aluminum alloy substrate, the deposition mechanism can be further investigated by guiding the actual coating.