In order to improve the cutting performance of cemented-carbide (YG8) tools during the milling of high-chromium cast iron, AlTiZrN coating was deposited on the surface of YG8 samples and milling tools by physical vapor deposition (PVD) technology. The micromorphology and mechanical properties of the coating were studied by the experimental method, and the cutting performance of the coated tools was tested by a milling machining center. The results show that the AlTiZrN coating presents the face-centered cubic (fcc) structure of TiN. The average microhardness is 3887 HV0.05. The bonding strength between the coating and the substrate meets the standard HF3 and is up to the requirements. The coefficient of friction (COF) of the coating is about 0.32. AlTiZrN coating can significantly improve the life of cemented-carbide tools. At cutting speeds of 85, 105, and 125 mm/min, the lives of the AlTiZrN-coated tools increased by 20.7%, 22.4%, and 35.2%, respectively, compared with the uncoated tools. Under the same cutting condition, AlTiZrN-coated tools have better cutting and chip-breaking performance than uncoated tools. With the increase in cutting speed, the workpiece chips produced by AlTiZrN-coated tools are smaller and more uniform, and the scratches on the machined surface are smoother. Therefore, at higher cutting speeds, AlTiZrN-coated tools have more advantages in life and cutting performance than that of uncoated tools. During the cutting process, the wear mechanisms of the AlTiZrN-coated tools mainly included friction, oxidation, and bonding, while oxidation and bonding wear were the main wear mechanisms in the later stage of wear.