Modern vacuum-plasma surface modification technologies of tools for metal and wood machining are based inter alia on the deposition of thin gradient and multilayer protection coatings with a thickness of several micrometers. Exploitation of tools are frequently carried out in complex tribological nodes, where next to mechanical loads, there are significant changes in temperature at the interface of the tool/workpiece material; hence, the knowledge of the thermomechanical stability of the coatings operating under these conditions is an important criterion used in the processes of designing of wear-resistant coating technology. In this paper, the objects of research were three types of gradient PVD coating/molybdenum substrate systems, for which time courses of amplitudes of elongation and equivalent thermal expansion coefficients of the systems were measured. Experimental measurements were made using a temperature-modulated dilatometry using concepts of dynamic load thermomechanical analysis. It was demonstrated that the developed method allows a quantitative determination of the influence of the gradient layer type on the total elongation of the substrate of the system. It was also shown that the changes of thermomechanical properties of the systems during annealing process are correlated with the time evolution of the equivalent thermal expansion coefficient. In addition, using the concepts of transition function describing the continuous change of physical and chemical parameters as a function of the spatial variables and finite element method for each of the systems, the distributions of internal thermal stresses were determined.