Cold spray is a dynamic additive manufacturing process which results in a unique microstructure and mechanical properties. This work investigates cold spray deposited material under high strain-rate dynamic loading, and specifically the influence of post-build heat treatment on the material strength when subjected to incipient spallation. As-deposited and heat-treated samples were characterized and subjected to shock loading with a plate impact apparatus; the free-surface velocity was measured during the experiment, and the samples were recovered for postmortem analysis. The test results show that the as-deposited material has little to no strength under high strain-rate tensile loading and breaks into pieces. After a short heat treatment, the material recovers some of its tensile strength (compared to wrought copper) but does not exhibit the expected damage morphology and void distribution. When the heat treatment time is extended to several hours and the temperature is increased, the material exhibits ramp-like shock rise and damage formation that is widely distributed within the sample. This work contributes to a better understanding of the influence of heat treatment on the microstructure and subsequent material strength properties under high strain-rate loading, which is crucial for applications where cold spray is a technique of interest.