Several studies focus on impact of residual stress in coatings, predominantly those synthesized by conventional physical vapor deposition (PVD) techniques like arc PVD and magnetron sputtering. High‐speed PVD (HS‐PVD) is based on hollow cathode gas flow sputtering, enabling the deposition of thick coatings s > 20 μm in contrast to the mentioned processes, where coating thickness is limited due to compressive residual stresses. Therefore, the effect of residual stresses on HS‐PVD coatings and adhesion was analyzed for the first time. The aim is to evaluate the influence of diverse substrate materials, different coating systems, and process parameters on the residual stress states in HS‐PVD coatings. Different coating systems like AlCrN and AlCrO are deposited at different reactive gas flows, coating times, and bias voltages. The residual stress of oxide coatings, deposited on cemented carbide and steel X40CrMoV5–1, is analyzed using X‐ray diffraction (XRD) and the sin2ψ method. For AlCrN coatings, in addition to the XRD method, the residual stresses are measured by focused ion‐beam‐digital image correlation ring‐core method to investigate different measuring methods. Both coating systems show higher adhesion strength with increasing thickness. Lower residual compressive stresses are unexpectedly observed at higher coating thickness using both analysis methods.