In the present work, the structure, stress state and phase composition of MeN/SiNx (Me = Zr, Cr, Al) multilayered films with the thickness of elementary layers in nanoscale range, as well as their stability to high temperature oxidation, were studied. Monolithic (reference) and multilayered films were deposited on Si substrates at the temperatures of 300 °C (ZrN/SiNx and AlN/SiNx systems) or 450 °C (CrN/SiNx) by reactive magnetron sputtering. The thickness ratios of MeN to SiNx were 5 nm/2 nm, 5 nm/5 nm, 5 nm/10 nm and 2 nm/5 nm. Transmission electron microscopy (TEM), X-ray Reflectivity (XRR) and X-ray Diffraction (XRD) testified to the uniform alternation of MeN and SiNx layers with sharp interlayer boundaries. It was observed that MeN sublayers have a nanocrystalline structure with (001) preferred orientation at 5 nm, but are X-ray amorphous at 2 nm, while SiNx sublayers are always X-ray amorphous. The stability of the coatings to oxidation was investigated by in situ XRD analysis (at the temperature range of 400–950 °C) along with the methods of wavelength-dispersive X-ray spectroscopy (WDS) and scanning electron microscopy (SEM) after air annealing procedure. Reference ZrN and CrN films started to oxidize at the temperatures of 550 and 700 °C, respectively, while the AlN reference film was thermally stable up to 950 °C. Compared to reference monolithic films, MeN/SiNx multilayers have an improved oxidation resistance (onset of oxidation is shifted by more than 200 °C), and the performance is enhanced with increasing fraction of SiNx layer thickness. Overall, CrN/SiNx and AlN/SiNx multilayered films are characterized by noticeably higher resistance to oxidation as compared to ZrN/SiNx multilayers, the best performance being obtained for CrN/SiNx and AlN/SiNx with 5 nm/5 nm and 5 nm/10 nm periods, which remain stable at least up to 950 °C.