In conventional thermal spraying, the spray particles are partially or fully molten when they deposit on the substrate. Cold spraying, in contrast, uses less thermal and more kinetic energy. In this process, solid particles impact on the substrate at high velocities and form excellent coatings. Due to comparatively low temperatures and typically inert process gases, cold spraying is particularly suitable for heat and oxidation sensitive materials. In recent years, modeling and computational methods have been widely used to study this relatively new spraying process, particularly to describe impact conditions of particles, to improve nozzle design, and to provide a better understanding of the thermo-mechanical processes that lead to particle bonding and deposition. This paper summarizes the state of the art in these theoretical studies, alongside a comprehensive description of the process. The paper also discusses the prediction of coating properties in the light of modeling combined with experimental investigations.