Thermal spraying ceramic coatings have widely applied in the fields of aerospace, transportation, etc. Common thermal spraying ceramic coating systems include ceramic coating, metal/alloy bond-coat, and metal substrate. However, due to the great difference in physicochemical properties between ceramic coating and bond-coat materials, the interface become the vulnerable area for the failure of thermal spraying ceramic coating, thus greatly reducing the service life of the coating and restraining the wider application of thermal spraying ceramic coating. In this paper, starting from the micro and macro structure design of the thermal spraying interface, the effect of microscopic interface and diffusion on interface mechanical properties are reviewed, and that of micron-nanoparticle interface structure, continuous gradient change of composition, and coating defects on properties are summarized. At the same time, the systematic characterization methods of three-point bending, micro-hardness, and nano-indentation for the mechanical properties of the interface are summarized, and the corresponding calculation formulas for the mechanical properties of the multi-scale interface are given in combination with the characteristics of different testing methods. The above results have great theoretical significance to the design and preparation of high-performance composite coatings and have practical application value to extend the service life of coatings.