In order to investigate the fundamental process of residual stress development in thermal barrier coating during thermal spray, a model experiment was conducted using a paraffin wax. Melted paraffin wax was dropped onto a circular substrate of type 430 stainless steel, and strain and temperature were measured on the back surface of substrate. The model experiment revealed that tensile quenching strain was developed during solidification and adhesion process and it was increased with the number of droplets. Development of the quenching strain and failure of paraffin coating were significantly influenced by substrate temperature. The lower substrate temperature caused the larger quenching strain, and facilitated cracking, delamination and debonding of the coating. Findings in a series of the model experiments showed some similarities to actual phenomena during thermal spray, and will provide a helpful suggestion to optimize various process parameters in thermal spray.