Abstract: A protective coating forming a thermal barrier is made on a superalloy metal substrate by forming a bonding underlayer on the substrate, the bonding underlayer being constituted by an intermetallic compound comprising at least aluminum and a metal from the platinum group, and by forming a ceramic outer layer which is anchored on a film of alumina present on the surface of the bonding underlayer. The bonding underlayer preferably has a thickness of less than 50 &mgr;m and is made by using physical vapor deposition, e.g. by cathode sputtering, to deposit a plurality of individual layers alternately of aluminum and of a metal from the platinum group, and by causing the metals in the resulting layers to react together exothermally.