Multifunctional coatings consisting of transition metal oxycarbides and oxynitrides deposited by physical vapour deposition techniques on tool steel are analysed in this work by means of modulated IR radiometry (MIRR), a non-contact non-destructive thermal wave measurement technique, with respect to the thermal transport properties relevant for time-dependent surface heating processes of coating–substrate systems. In order to interpret the measured data quantitatively, an inverse solution of the two-layer thermal wave problem is applied, which relies on the thermal wave phase lag data measured as a function of modulation frequency of the periodically modulated laser beam heating intensity. Based on these measurements and their quantitative interpretation, correlations between the thermal transport properties of the coatings and their deposition conditions have been found, which can be used to monitor deposition processes. For a second objective of this work, namely to determine the film thickness by means of MIRR, different sets of thin films of approximately constant thermal transport properties, but differing film thickness, have been measured. To discuss the limitations and error limits of these non-contact non-destructive measurements of the coating thickness, the results obtained by MIRR are compared with the coating thickness determined by destructive measurements.