Rolling bearings are critical in automotive engines, wind turbine drive trains, and numerous other mechanical systems. Rolling bearings can suffer from early failures, which result in high operation and maintenance costs. Surface engineering techniques, such as the application of coatings and additives for lubricants have been developed to improve the tribological performance of rolling bearings. In this article, the performance of physical vapor deposition coatings on components working under rolling/sliding contacts and rolling bearings is reviewed. The applications of physical vapor deposition coatings in the rolling bearing industry are summarized. The effects of coating thickness, coating mechanical properties, test conditions, coating bonding layer, and coating architecture on coating performance are discussed. At the end of the article, possible approaches to further improve the performance of physical vapor deposition coatings on rolling bearings are proposed.