For spray cooling using nanofluid as the working fluid, a nano-adsorption layer is formed on the heated surface and affects the heat transfer performance of the cooling system. This study performs an experimental investigation into the formation of this nano-adsorption layer and its subsequent effects on the spray heat transfer performance of a cooling system using Al2O3–water nanofluid as the working fluid. The experiments consider four different nanoparticle volume fractions (i.e., 0 vol. %, 0.001 vol. %, 0.025 vol. %, and 0.05 vol. %) and two different surface roughnesses (i.e., 0.1 μm and 1.0 μm). The experimental results show that the 0.001 vol. % nanofluid yields the optimal heat transfer performance since most of the nanoparticles rebound from the heated surface directly on impact or are washed away by subsequently arriving droplets. The surface compositions of the spray-cooled specimens are examined using scanning electron microscopy (SEM) and energy-dispersive X-ray spectroscopy (EDS). The results reveal that for all of the nanofluids, a nano-adsorption layer is formed on the surface of the spray-cooled test pieces. Moreover, the layer thickness increases with an increasing nanoparticle concentration. A greater nano-adsorption layer thickness not only results in a higher thermal resistance but also reduces the effect of the surface roughness in enhancing the heat transfer performance. In addition, the nano-adsorption layer absorbs the nanofluid droplets under the effects of capillary forces, and therefore reduces the contact angle, which induces a hydrophilic surface property.