The wear resistance of coated tools is a key technical parameter, which is indirectly affected by the substrate phase characteristics. WC–Co cemented carbides with varied WC grain sizes (0.4, 0.7, 1.2 μm) and Co contents (3, 6, 10, 12 wt.%) were used as the substrates. Single-layer Al0.52Ti0.48N and multilayer Ti0.89Si0.11N/TiAlSiN/Al0.52Ti0.48N films were deposited on the substrates by DC magnetron sputtering. Reciprocating friction tests were carried out in the air medium and the 3.5 wt.% NaCl aqueous solution, respectively. In the air medium, the films on the fine and the submicron WC–Co substrates with the weaker carrying capacity became worn through earlier than those on the ultrafine substrates. In the NaCl solution medium, for the ultrafine-grained WC–10Co substrates with different Co contents, the friction coefficients (FS) of the film had a linear negative correlation with the hardness (HS) of the substrates. With the decrease in the WC grain sizes or the Co contents, the wear rates of the coated alloys decreased gradually (by 19.7% and 34.5%, respectively). The regular patterns obtained can provide a reference for the selection and design of the phase composition of the cemented carbide substrates.