In smart coatings designed for friction units operating in wide temperature ranges, the material reacts to heating by changing its frictional properties. Appropriate experimental studies are available. In this paper, a model is proposed for studying the mutual effect of frictional heating, which is inhomogeneous in the contact area, and shear stresses. The distribution of the latter differs from the Amonton–Coulomb law according to local temperatures, from which the local friction coefficient depends. Two problems are independently solved in the model: the problem of elastic contact between a smooth slider and a two-layer elastic half-space, and the thermal problem. The solution methods are numerical–analytical and are based on Hankel integral transforms and iterative procedures. The problem has been solved for two types of sliders simulating pin-on-disk and ball-on-disk test schemes. For the selected dependences of the local friction coefficient on temperature, an analysis was made to study the influence of sliding velocity and coating thickness on the distribution of temperatures, tangential stresses in the contact zone, as well as integral friction force. Relatively rigid and relatively compliant coatings were considered. It was found that for such smart coatings, which implement the mechanism of self-lubrication during frictional heating, there is a decrease in the friction force with increasing velocity, especially for relatively thick coatings with low thermal conductivity.