The adhesive mechanism of plasma jet-sprayed nickel, chromium, molybdenum, tantalum, and tungsten coatings on aluminum and mild steel substrates was investigated. The compositions of the boundary layers between the coatings and the substrates were studied using x-ray diffraction. Experiments on the bonding behavior between substrates and nickel drops heated by the levitation melting process were also performed. The results of the experiments show that: (i) the substrate surface is melted by the sprayed particles, and a boundary layer which consists of an intermetallic compound consisting of the elements of the coating and substrate materials is formed between the coating and the substrate; (ii) this layer is necessary to improve the adhesion between the sprayed coating and the substrate; (iii) the adhesive mechanism between the sprayed coating and the substrate surface and the composition of the boundary layer were confirmed by a liquid nickel-drop experiment.