To understand the adhesion mechanism of cold spraying, the characteristics of a newly formed cold spray surface are essential. This surface is formed by the dynamic plastic deformation of the substrate and particles during cold spray impact. Over the surface, the amount of newly generated surface, bonding state, and strength can differ. Even within an individual attached particle, the amount of plastic deformation also differs. To determine the relationship between the coating deposition mechanism, microstructure, and adhesion strength, tensile adhesion strength tests of cold sprayed copper coatings on an aluminum substrate were carried out. Then, using an Auger electron spectroscopic analyzer, the remained oxide film at the fracture surface, which is the bonding interface, was analyzed. The natural oxide film that covers the surface of the substrate before the impact, which is broken by plastic deformation during the spray process. However, the results show that it is not broken at the center of the collision crater, where the amount of plastic deformation of the substrate material is small. Hence, at the center of the collision crater, the oxide film still covers the substrate. Moreover, the results reveal that the adhesion strength is not uniform but is strong at the edge of the crater, where the oxide film has been removed by the colliding particle. These results reveal insights that will be valuable for future improvements in the adhesion strength of cold spray coatings.