Acoustic emission (AE) allows for the in-situ monitoring of damage during the thermal and mechanical solicitation of a material and can be used to identify various damage mechanisms and interpret the way they interact, in particular, in multi-material systems. In the present work AE activity was monitored during the step-wise tensile testing and during the thermomechanical fatigue (TMF) of Ni-base superalloys (in single-crystalline and directionallysolidified form), coated with oxidation protection coatings. The classification analysis of the AE signals revealed that AE monitoring provides complementary and specific information about the surface-, subsurface-, and bulk damage processes. In combination with the mechanical response and the surface damage analysis by video imaging, it represents a powerful means for non-destructive damage assessment and it offers possibilities for the lifing of coated material systems.