Thermally sprayed ceramic coatings are applied for the protection of surfaces that are exposed mainly to wear, high temperatures, and corrosion. In recent years, great interest has been garnered by spray processes with submicrometric and nanometric feedstock materials, due to the refinement of the structure and improved coating properties. This paper compares the microstructure and tribological properties of alumina coatings sprayed using conventional atmospheric plasma spraying (APS), and various methods that use finely grained suspension feedstocks, namely, suspension plasma spraying (SPS) and suspension high-velocity oxy-fuel spraying (S-HVOF). Furthermore, the suspension plasma-sprayed Al2O3 coatings have been deposited with radial (SPS) and axial (A-SPS) feedstock injection. The results showed that all suspension-based coatings demonstrated much better wear resistance than the powder-sprayed ones. S-HVOF and axial suspension plasma spraying (A-SPS) allowed for the deposition of the most dense and homogeneous coatings. Dense-structured coatings with low porosity (4 vol.%) and good cohesion to the metallic substrate, containing a high content of α–Al2O3 phase (56 vol.%) and a very low wear rate (0.2 ± 0.04 mm3 × 10−6/(N∙m)), were produced with the S-HVOF method. The wear mechanism of ceramic coatings included the adhesive wear mode supported by the fatigue-induced material delamination. Moreover, the presence of wear debris and tribofilm was confirmed. Finally, the coefficient of friction for the coatings was in the range between 0.44 and 0.68, with the highest values being recorded for APS sprayed coatings.