Gas turbine engine is widely used in industry, marine and aerospace. Its efficiency can be enhanced by increasing inlet gas temperature and reducing heat transfer. To achieve this goal it is important to develop materials with higher melting points. Ni--based superalloy is suitable for vane and blade materials. The properties of superalloy have been improved by directionally solidified and single crystal in last 50 years. But it is limited to develop superalloy with much higher temperature, because the operating temperature approaches the melting point of superalloy. In this rigorous environment, high temperature oxidation and hot corrosion impair the alloy property. MCrAlY coating is commonly used as oxidation-- and corrosion--resistant material. Hitherto, it is clearly validated that the oxidation-- and corrosion--resistance of hot parts at high temperature can be greatly improved by MCrAlY coating. The difference of materials properties between MCrAlY coating and superalloy may cause interactions which influence the mechanical properties and life of MCrAlY--coated component. A few of studies have conducted on mechanical properties of $M$CrAlY--coated superalloy. The results revealed that the present of coating affected the performance of superalloy. In service, thermo--mechanical fatigue provides a closer simulation of the actual strain--temperature in an engine environment. Only a few studies were published though their results were not consistency; because the experiment is hard to perform and many factors influence the experiment results such as temperature--strain cycle shape, strain range magnitude, the ductility and the strength of the bond between the coating and the substrate. In this paper, thermo--mechanical fatigue (TMF) behaviors of a Ni--based superalloy M963 coated with Ni--Cr--Al--Y have been investigated at 450---900 ℃ in air under mechanical strain control with a strain ratio of -1 and a period of 200 s. The coating was produced either by air plasma spraying (APS) or by high velocity oxyfuel fuel (HVOF). It was shown that under the same mechanical strain, the out of phase (OP) TMF life is shorter than the in phase (IP) TMF one in both APS and HVOF coated specimens. The TMF life depends on the coating spraying technology under the same testing conditions. Observations of fracture surfaces and longitudinal sections revealed that crack initiation has great impact on the TMF life.