Cavitation erosion is a sever wear mechanism that takes place in hydrodynamic systems. Examples are turbine vanes of hydropower plants or components of valves and pumps in hydraulic systems. Nickel-titanium shape memory alloys (NiTi) are attractive materials for cavitation-resistant coatings because of their pronounced intrinsic damping mitigating cavitation-induced erosion. In this work, NiTi coatings were produced by cold gas spraying. The phase transformation behaviors of the powder feedstock and the as-sprayed coatings were investigated. Regarding the obtained transformation temperatures, the measured substrate temperatures during spraying rule out that either the shape memory effect or the pseudoelasticity of NiTi could affect the deposition efficiency under the applied conditions of cold gas spraying. Another potential effect is stress-induced amorphization which could occur at the particle–substrate interfaces and impair particle bonding by stress relaxation. Moreover, also oxide formation can be significant. Thus, the presence of amorphous phases and oxides in the near-surface zone of particles bounced off after impact was investigated. Oxidation could be confirmed, but no indication of amorphous phase was found. Besides, also the evolution of local microstrains implies that the substrate temperatures affect the deposition efficiency. These temperatures were significantly influenced by the spray gun travel speed.