Coating systems are well-established for protecting metallic surfaces against tribological loads and corrosive environments. In particular, thermal sprayed coatings are often used for this purpose due to their wide range of processible materials and possible thicknesses without subjecting the substrate to high thermal stress. However, thermal-sprayed coatings significantly deteriorate the fatigue performance of the composite (substrate and coating). As introducing compressive residual stresses is an effective strategy to enhance fatigue strength, this study addresses turning and subsequent diamond smoothing in combination with wire arc spraying of NiAl95/5 to introduce them into the substrate (EN 1.0032). After machining, the specimen surfaces are investigated regarding their roughness by tactile measurements and the residual stresses using X-ray diffraction (XRD) analysis. In addition, the influence of temperature during wire arc thermal spraying of the NiAl95/5 on the steel substrate is analyzed. For this, wire arc spraying is performed continuously or with cooling between each coating step. After machining and thermal spraying, high-cycle fatigue (HCF) tests are carried out in a resonant testing machine at a load ratio of R = -1. The microstructure of the HCF-tested specimens is investigated on cross-sections by scanning electron microscopy. In addition, the fracture surfaces are characterized regarding the interface adhesion, crack initiation and propagation. It is found that diamond smoothing improves fatigue strength. In addition, it is observed that continuously applied coatings without cooling between each step show a slightly lower fatigue strength than the discontinuously deposited NiAl95/5 coatings. Moreover, the influence of machining and the temperature regime during thermal spraying is discussed with regard to the microstructure.