High-velocity air fuel (HVAF) coating processes have advantages over conventional high-velocity oxygen fuel (HVOF) processes, resulting in coatings with superior properties. The present review first provides a concise overview of HVAF coatings, highlighting their advantages over HVOF coatings. Then, the fundamentals of solid particle, slurry, and cavitation erosion are briefly introduced. Finally, the performance of HVAF coatings for erosion-resistant applications is discussed in detail. The emerging research consistently reports HVAF-coatings having higher erosion resistance than HVOF-coatings, which is attributed to their elevated hardness and density and improved microstructural features that inhibit the surface damages caused by erosion. The dominant wear mechanisms are mainly functions of particle impact angle. For instance, the removal of the binder phase at high impact angles causes the accumulation of plastic strain on hard particles (e.g., WC particles) in the matrix, forming micro-cracks between the hard particles and the matrix, eventually decreasing the erosion resistance of HVAF coatings. The binder phase of HVAF-coatings significantly affects erosion resistance, primarily due to their inherent mechanical properties and bearing capacity of hard particles. Optimizing spraying parameters to tailor the microstructural characteristics of these coatings appears to be the key to enhancing their erosion resistance. The relationship between microstructural features and erosion mechanisms needs to be clarified to process coatings with tailored microstructural features for erosion-resistant applications.