The ferritic steel 16Mo3 coated with the nickel-base alloy IN625mod by high-velocity oxy-fuel (HVOF) spraying was investigated under uniaxial and biaxial fatigue loading at 200 and 500 °C. Furthermore, bulk HVOF-sprayed specimens of the coating material IN625mod were also investigated under uniaxial isothermal fatigue loading at 200 and 500 °C. Moreover, the thermo-mechanical fatigue behavior of 16Mo3 was studied under in-phase (IP) and out-of-phase (OP) loading between 200 and 500 °C. The fatigue lives of the bulk coating and the compound material are presented. In particular, the thermo-mechanical OP loading leads to a strong reduction of the lifetimes compared to the IP loading. A conservative estimation of the fatigue lives of the thermo-mechanical loading can be given by isothermal tests at 500 °C. The comparison of the uniaxial loading with the biaxial loading cases shows reasonable coincidence by using the distortion energy hypothesis according to von Mises.