The present paper addresses the problem of identification of microstructural, nanomechanical, and tribological properties of thin films of tantalum (Ta) and its compounds deposited on stainless steel substrates by direct current magnetron sputtering. The compositions of the obtained nanostructured films were determined by energy dispersive spectroscopy. Surface morphology was investigated using atomic force microscopy (AFM). The coatings were found to be homogeneous and have low roughness values (<10 nm). The values of microhardness and elastic modulus were obtained by means of nanoindentation. Elastic modulus values for all the coatings remained unchanged with different atomic percentage of tantalum in the films. The values of microhardness of the tantalum films were increased after incorporation of the oxygen and nitrogen atoms into the crystal lattice of the coatings. The coefficient of friction, CoF, was determined by the AFM method in the “sliding” and “plowing” modes. Deposition of the coatings on the substrates led to a decrease of CoF for the coating-substrate system compared to the substrates; thus, the final product utilizing such a coating will presumably have a longer service life. The tantalum nitride films were characterized by the smallest values of CoF and specific volumetric wear.