The efficiency of ultra-supercritical (USC) steam power plants is limited by the materials properties, in particular, the steam oxidation resistance of the currently used steels at temperatures higher than 600 °C. Under these conditions, steam oxidation results in the development of thick oxide scales which spall and can accumulate in tube bends leading to blockage, overheating and premature creep rupture, as well as erosion of downstream components such as steam valves and turbine blades. Most published work related to oxidation testing is carried out at atmospheric pressure, with significantly less testing of austenitic steels in supercritical steam, and rarely including protective coatings. Indeed, the effect of high-pressure steam in the oxidation process is not quite understood at present. This paper covers a comparison of the behaviour of TP347HFG stainless steel at 700 °C under atmospheric pressure and 25 MPa, with and without slurry-applied diffusion aluminide coatings. The results show a very protective behaviour of the aluminide coatings, which develop a very thin Al-rich protective oxide, and no significant difference between the two environments. In contrast, the uncoated steel exhibited a different behaviour. Indeed, under atmospheric pressure after 3000 h, very thin scales, rich in Cr and not surpassing 5 to 10 µm in thickness, covered the samples along with some much thicker Fe-rich oxide nodules (up to 150 µm). However, under 25 MPa, a thick multilayer scale with a non-homogeneous thickness oscillating between 10 to 120 µm was present. A microstructural investigation was undertaken on the oxidised uncoated and coated substrates. The results suggest that pressure increases the oxidation rate of the chromia former steels but that the oxidation mechanism remains the same. A mechanism is proposed, including early detachment of the outer growing scales under supercritical pressure.