The main objective of this work is to examine the feasibility of depositing aluminum nitride (AlN) powders, synthesized using self-propagating high-temperature synthesis, on a mild steel substrate using the detonation spray coating technique. Thick coatings produced by utilizing the AlN powder were obtained at four different oxygen–acetylene ratios and analyzed for microstructure, microhardness, porosity, indentation fracture toughness, and phase distribution. The AlN powder particles were found to be undergoing oxidation during the deposition process. The interrelationship between the spray parameters and the extent of oxidation of AlN during the coating process was investigated. Tribological performance of the coatings was evaluated using a dry sand abrasion test and a pin-on-disc sliding wear test. The mechanical and tribological properties of the above four coatings were compared with pure alumina (Al2O3) coatings. The correlation between the structure of the coatings and their tribological performance was also established.