Plasma-spray coatings have a unique microstructure composed of various types of microcracks and weakly bonded interfaces which dictate their nonlinear mechanical properties. The intrinsic photo-luminescence (PL) characteristics of alpha-alumina (α-Al2O3) within these coatings offer a diagnostic functionality, enabling these properties to be probed experimentally at the microscale, under substrate loading. The piezospectroscopic (PS) measurements from the coatings are capable of revealing microstructural stress at high spatial resolution. Here, for the first time, the evolution of stresses within air plasma spray (APS) coatings under increasing substrate loads were captured using piezospectroscopy. With mechanical cycling of the substrate, the PS properties revealed anelastic and inelastic behavior and a relaxation of residual tensile stress within the APS coatings. With decreasing substrate thickness, the coating was observed to sustain more stress, as the substrate's influence on the mechanical behavior decreased. The findings provide an insight into the microstructural response that can serve as the basis for model validation and subsequently drive the design process for these coatings.