The residual stress state in thick film systems, as for example thermal spray coatings, is crucial for many of the component’s properties and for the evaluation of the integrity of the coating under thermal and/or mechanical loading. Therefore it is necessary to be able to determine the local residual stress distribution in the coating, at the interface and in the substrate. The incremental hole-drilling method is a widely used method for measuring residual stress depth profiles, which was already applied for thermally sprayed coatings. But so far no reliable hole-drilling evaluation method exists for layered materials having a stress gradient in depth. The objective was to investigate, how far existing evaluation methods of the incremental hole-drilling method that are only valid for residual stress analysis of homogenous material states can be applied to thick film systems with coating thicknesses between 50 μm and 1000 μm and to point out the application limits for these already existing methods. A systematic Finite Element (FE) study was carried out for coating systems with an axisymmetric residual stress state σ1 = σ2. It is shown that conventional evaluation methods developed for homogeneous, non-layered material states can be successfully applied for a stress evaluation in the substrate and the coating for small and for sufficiently large coating thicknesses, respectively, regardless of the type of evaluation algorithm used i.e. the differential or the integral method. The same accounts for material combinations that have a Young’s modulus ratio close to one, between 0.8 and 1.2. The studies indicated that outside the given ranges case specific calibration must be applied to calculate reliable results. Further, calibration data were determined case specifically for a selected model coating system. The accuracy of a residual stress determination using these case specific calibration data was examined and the sensitivity of the evaluation with respect to an accurate knowledge of the boundary conditions of the coating system i.e. the coating thickness and the Young modulus was studied systematically. Finally, the calibration data were applied on a thermally sprayed aluminium coating on a steel substrate analysis and the results for using the incremental hole drilling method were compared to results from X-ray stress analysis.