A wet electrolytic capacitor that includes a porous anode body containing a dielectric layer, an electrolyte, and a cathode containing a metal substrate on which is disposed a conductive coating is provided. Prior to application of the conductive coating, the metal substrate is blasted with abrasive particles to enhance the ability of the substrate to adhere to the coating. The micro-roughened metal substrate can be treated after blasting so that substantially all of the abrasive particles are removed. This is accomplished by contacting the metal substrate with an extraction solution to remove the particles, and also by selectively controlling the nature of the abrasive particles so that they are dispersible (e.g., soluble) in the solution.