The interface anchoring and densification of Y2O3 coatings prepared by aerosol deposition (AD) process were systematically investigated for various types of metal substrates. At initial anchoring stage in AD process, the kinetic energy of impacted particles is converted to the heat energy, which instantly elevates the interface temperature between coating layer and substrate. Thus, the Sn substrate with low melting temperature (∼505 K) results in strong impact anchoring by local interface melting during AD process. On the other hand, the continuous collision and fracture of impacted particles lead to solid consolidation and densification of deposited coating layers. Thus, the SUS substrate with high hardness (∼173 Hv) leads to a highly densified coating layer. Indeed, the bulk metallic glass (BMG) substrates, which have unique low processable temperature (<800 K) called supercooled liquid region and ultra-high hardness (>500 Hv), give rise to both excellent interface anchoring and densification of thick Y2O3 layers with a nano-crystalline structure by AD process. These advantages of the BMG substrates can be used more widely by forming metallic glass buffer layer on various substrates applied to AD process.