This study was aimed at development of fabrication process of functionally graded materials(FGM), consisting of metal and ceramic by thermal spraying method. NiCrAIY/$Al_2O_3$ FGM were made by using plasma spraying onto the SS400 carbon steel substrate. And mechanical properties such as microhardness, thermal shock resistance and adhesive strength of the coating layer were investigated. Adhesive strength was evaluated by acoustic emission method. It was resulted that NiCrAIY/$Al_2O_3$ FGM made by thermal spraying method showed excellent thermal shock resistance and adhesive strength compared to the other lamellar structures of sprayed coatings and that AE is useful tool to evaluate the defect of thermal sprayed coating layer.