High‐speed dry milling (HSDM) technology is one of the most attractive solutions for improving the cutting performance of difficult‐to‐machine materials. However, the study of HSDM performance for 30CrMnSiNi2A steel has not been reported. In this article, HSDM for 30CrMnSiNi2A steel is investigated using TiN‐coated and AlTiN‐coated tools, focusing on cutting force, vibration, surface roughness, residual stress, and tool wear. The effects of cutting parameters on cutting force and vibration are remarkably similar. At a spindle speed of 7500 r min−1, both cutting force and vibration are minimized. TiN‐coated and AlTiN‐coated tools exhibit distinct performance differences. But, HSDM of 30CrMnSiNi2A steel using TiN‐coated and AlTiN‐coated tools can achieve low surface roughness. The depth of cut significantly affects surface roughness, which is lowest at the depth of cut (0.8 mm). Most of the workpiece surface shows residual compressive stress. The main wear mechanisms for both coated tools are abrasive wear, adhesive wear, and oxidative wear. Furthermore, the AlTiN‐coated tool is more wear resistant on the flank face compared to the TiN‐coated tool. Chipping due to crater wear is the leading cause of tool failure for the AlTiN‐coated tool. Upon various comparisons, the AlTiN‐coated tool is more suitable for HSDM of 30CrMnSiNi2A steel.