We investigated the effects of substrate rotation speed on the structural and mechanical properties of CrN/CrAlSiN multilayer coatings produced using high-power impulse magnetron sputtering (HiPIMS) on silicon and high-speed steel (HSS) substrates. Structural analysis and characterization of the multilayer coatings were performed using an X-ray diffractometer (XRD), field emission scanning electron microscopy (FE-SEM), an electron probe microanalyzer (EPMA), and a transmission electron microscope (TEM). The thickness of the bi-layer film depended on the substrate rotation speed, as follows: 12 (1.5 rpm), 9.5 (2 rpm), 6 (3 rpm), 4 (4 rpm), and 3.2 nm (5 rpm). The results revealed that the hardness and coating–substrate adhesion strength increased inversely with the thickness of the bi-layer. TEM analysis revealed smaller columnar structures in thinner CrN/CrAlSiN multilayer coatings. The highest results for hardness (20.1 GPa), elastic modulus (336 GPa), and adhesion strength (77 N) were obtained at a substrate rotation speed of 5 rpm. We also investigated the adhesion properties of the multilayer structures and formulated a hypothesis to explain adhesion strength.