The objective of this study was to explore the mechanical properties of AlCrSiN and AlTiSiN coatings deposited on Inconel and steel substrates after thermal treatments of 500 °C and 800 °C. Nanoindentation was used to measure the hardness and elastic modulus of the coatings, and microindentation was used for observing the contact damage with Hertzian contact loadings. Microscratch and Mercedes tests were used to evaluate the adhesive strength between coating and substrate with both progressive and static loads, respectively. The surface damage was inspected by optical microscopy and scanning electron microscopy (SEM). Focus ion beams (FIB) were used to mill the cross-sections in order to detect the extent and mode of failure. The results show that AlCrSiN coatings and Inconel substrates exhibit better mechanical performance, even after thermal treatments.