The behavior of a coated asperity contacting with a rigid flat during the loading and unloading processes is investigated using the finite element method. The power-law hardening elastic–plastic substrate is considered, and the effect of the substrate hardening exponent and the coating thickness on the contact behavior is studied. It is shown that in the loading process, the contact load increases more slow and the contact area increases faster as the interference increases for smaller coating thickness and hardening exponent cases, and the coating thickness recovers more obviously after a rapid decrease. In the unloading process, the residual interference and the pileup effect of the asperity surface is larger for smaller coating thicknesses and hardening exponents, and the energy loss due to the plastic deformation is larger accordingly.