The Cold Gas Dynamic Spray technology, generally referred as Cold Spray, is a relatively new additive manufacturing technique able to produce fully dense coatings through the deposition of particles on a substrate. Fine powders are accelerated to high velocity and projected onto a substrate, upon impact with the target surface, conversion of kinetic energy to plastic deformation occurs and the solid particles deform and bond together. During the cold spray deposition process, the particles remain in a solid state during the deposition, resulting in high-quality coatings with low residual stresses and oxide inclusions. The relative lower process temperatures allow the cold spray to manufacture coatings on high temperature-sensitive materials. It could also be a valid method for deposition of a wide variety of materials, from metallic alloys up to ceramics and composites. Depending on the materials employed as substrate and coating, different bonding mechanisms can occur during the deposition. The present review aims to summarise the main bonding theories proposed up to now for the cold spray, focusing on both the particle deformation behaviour during the contact with the surface and the interfacial bonding mechanisms. The available theories for different substrate/coating configurations will be discussed and compared. The effects of deposition parameters, the substrate's surface and microstructure of feedstock powders on the bonding mechanism will also be discussed.