Reports of the influence of surface roughness on the adhesion and tribological performance of contemporary nitride coatings with different layer designs are still scarce in the literature. Therefore, in this study, we evaluated the behavior of a single-layer TiAlN, a bilayer TiAlN/CNx, and a nanolayer AlTiN/TiN coating. Coatings were deposited in an industrial magnetron sputtering unit on the substrates of EN 100Cr6 steel, prepared to four degrees of surface roughness (Sa = 10–550 nm). The coatings’ adhesion was determined by scratch tests performed perpendicular and parallel to the machining marks. Dry reciprocating sliding tests in air were employed to evaluate the coatings’ tribological behavior against an Al2O3 ball. Before and after the tests, coating properties were characterized by 3D profilometry, confocal microscopy, and energy dispersive spectroscopy. Deposition of all coatings significantly altered the surface topography and increased the roughness of the samples. No general rule could be established for the effect of surface roughness on tribological behavior and adhesion of different hard coatings. For very fine surface finishes the adhesion and tribological performance of TiAlN and TiAlN/CNx coatings was independent of the surface roughness. For the roughest surfaces, a decrease in adhesion and an increase in the wear rate were observed. The AlTiN/TiN coating exhibited the largest sensitivity of adhesion to roughness and scratching direction. The coefficient of friction and wear rate increased when AlTiN/TiN roughness exceeded Sa ≈ 100 nm.