High-velocity oxygen fuel (HVOF) spraying is a promising technique for depositing protective coatings. The performances of HVOF-sprayed coatings are affected by in-flight particle properties, such as temperature and velocity, that are controlled by the spraying parameters. However, obtaining the desired coatings through experimental methods alone is challenging, owing to the complex physical and chemical processes involved in the HVOF approach. Compared with traditional experimental methods, a novel method for optimizing and predicting coating performance is presented herein; this method involves combining machine learning techniques with thermal spray technology. Herein, we firstly introduce physics-informed neural networks (PINNs) and convolutional neural networks (CNNs) to address the overfitting problem in small-sample algorithms and then apply the algorithms to HVOF processes and HVOF-sprayed coatings. We proposed the PINN and CNN hierarchical neural network to establish prediction models for the in-flight particle properties and performances of NiCr–Cr₃C₂ coatings (e.g., porosity, microhardness, and wear rate). Additionally, a random forest model is used to evaluate the relative importance of the effect of the spraying parameters on the properties of in-flight particles and coating performance. We find that the particle temperature and velocity as well as the coating performances (porosity, wear resistance, and microhardness) can be predicted with up to 99% accuracy and that the spraying distance and velocity of in-flight particles exert the most substantial effects on the in-flight particle properties and coating performance, respectively. This study can serve as a theoretical reference for the development of intelligent HVOF systems in the future.