Press-in connections are the commonly used methods for connecting machinery components. In relation to that wide use, those connections are liable to various types of damage and wear. Therefore, this article proposes one of the methods which may improve the life of the press-in connection. CrN+OX, TiN, and ZrN coatings made in the PVD technology were used. The coatings were applied on shafts mating with sleeves and subjected to a rotational bending moment. Tests and observations were conducted that enabled the assessment of the influence of those coatings on the development of wear, in particular fretting, in the tribological kinematic pair. The tests showed the development of wear on all the observed shaft surfaces, with a lower intensity of damage recorded on coated shafts compared to uncoated ones. The traces of fretting wear were noted each time at the edges of the connection, which is due to the mechanism of wear development under rotational bending conditions. In the case of uncoated shafts, wear occurs at the entire circumference of the axle seat in the form of a 3–4 mm wide ring; however, that width is different on either side. In the case of coated shafts, wear occurs on the circumference of the axle seat in the form of a thin ring 1–3 mm wide, depending on the coating. In the case of a ZrN coating, fretting wear appears locally. The largest surface area occupied by wear is 0.75 cm2. Fretting wear comprises mainly material build-ups, pits, and surface scratches. In addition to fretting wear, damage resulting from the process of forcing the sleeve onto the shaft was observed on the tested surfaces.