Real-time evaluation of materials’ mechanical response is crucial to further improve the performance of surfaces and coatings because the widely used post-processing evaluation techniques (e.g., fractography analysis) cannot provide deep insight into the deformation and damage mechanisms that occur and changes in coatings’ material corresponding to the dynamic thermomechanical loading conditions. The advanced in situ examination methods offer deep insight into mechanical behavior and material failure with remarkable range and resolution of length scales, microstructure, and loading conditions. This article presents a review on the in situ mechanical testing of coatings under tensile and bending examinations, highlighting the commonly used in situ monitoring techniques in coating testing and challenges related to such techniques.