Self-lubricated coatings have been a major topic of interest in thermal spray in the last decades. Self-lubricated coatings obtained by thermal spray are exclusively based on solid lubricants (PTFE, h-BN, graphite, MoS2, etc.) embedded in the matrix. Production of thermal spray coatings containing liquid lubricants has not yet been achieved because of the complexity of keeping a liquid in a solid matrix during the spraying process. In the present article, the first liquid-solid self-lubricating thermal spray coatings are presented. The coatings are produced by inserting lubricant-filled capsules inside a polymeric matrix. The goal of the coating is to release lubricant to the system when needed. The first produced coatings consisted solely of capsules for confirming the feasibility of the process. For obtaining such a coating, the liquid-filled capsules were injected in the thermal spray flame without any other feedstock material. Once the concept and the idea were proven, a polymer was co-sprayed together with the capsules to obtain a coating containing the lubricant-filled capsules distributed in the solid polymeric matrix. The coatings and the self-lubricated properties have been investigated by means of optical microscopy, Scanning Electron Microscopy, and tribological tests.