Cold spraying is a solid-state coating process and promising technique for additive manufacturing. However, questions raise about the bonding mechanism between the particles forming the coating. In this study, the strengthened peening effect is proposed as the determining factor for the formation of metallurgical bonding in cold spray additive manufacturing. Ni coatings and single splats were produced on Al substrates with different propelling gas pressures. Contrary to common understanding, no metallurgical bonding was observed in single-particle impact, even at the pressure of 3.7 MPa. However, the metallurgical bonding was observed at the full coating deposition through the existence of diffusion after heat treatment. Thus, the strengthened peening effect of subsequent particles with successive impact energy might be the determining factor for the formation of metallurgical bonding. Actually, strengthened peening effect significantly improved the coating quality through enhanced metallurgical bonding, which was proved by the increasing adhesion strength and decreasing porosity.