In this study, air or atmospheric plasma spraying (APS), one of thermal spraying processes, was used to produce alumina coatings and other ceramic coatings. The mechanical properties (hardness and elastic modulus) of APS alumina coatings were studied using nanoindentation testing, which is a widely used technique in the characterization of mechanical behavior of small scale bulk materials, thin films, coatings, and other nanomaterials. The influence of different phases of alumina on the nanoindentation results was investigated. An analytical model has been established to study nanoindentation testing on multilayered thin films. The analytical results of nanoindentation on APS alumina coatings were deduced based on this model, and the analytical results have a good agreement with the experimental results.