A comparative study on the mechanical properties and residual stress profiles of ceramic coatings produced using plasma spraying under comparable conditions are presented. Alumina, titania, alumina-13%titania, zirconia and chromia coatings were deposited, for the first time, under similar particle velocity and a comparable particle temperature to melting temperature ratio. The coatings were characterized by porosity, hardness, indentation modulus, and fracture toughness, and full residual stress depth profiles of the coated specimens. The degree of particle melting and associated coating properties relied on the latent heat of fusion of the feedstock. The top coatings were found to possess different residual stress field depending on their coefficient of thermal expansion. The effect of tensile quenching stress is perceived when the difference in thermal expansion coefficients between the topcoats and the bond coat is low, e.g., titania and zirconia coatings. On the other hand, for a higher differential thermal expansion coefficient, effect of compressive thermal stress is prevalent, e.g., alumina, alumina-titania, and chromia coatings. Moreover, the highly compressive residual stress in the grit blasted substrate was relaxed after coating deposition, and the extent of stress relaxation was dependent on plasma power. Hence, the full residual stress state in a coated component relied on the combined influence of the difference in thermal expansion coefficients between the topcoat and bond coat, degree of feedstock melting, and the extent of stress relaxation owing to annealing effect by the plasma jet.