Composite particles destined to build plasma sprayed coatings, are prepared by the mechanofusion process (MF). These particles consist of a stainless steel core particle coated by finer particles of alumina. Changes induced by the MF process are monitored by SEM, DRX, and laser granulometry, revealing that the dry particle coating process is governed by agglomeration and rolling phenomena. Simultaneously, the MF performance is controlled by the operating parameters such as the compression gap, the mass ratio of host to guest particle, and the powder input rate. The mechanical energy input leads to a nearly rounded shape of the final composite particles; however, no formation of new phases or components decomposition is detected by XRD analysis. The resulting composite powder features optimal characteristics, concerning particle shape and phases distribution, to be plasma sprayed in air.