The microstructure, mechanical properties, and friction-wear performance of (TiBx/TiSiyCz)x3 multilayer coatings deposited on the M2 steel by the pulsed laser deposition are investigated in detail in as-deposited state and after annealing at 500 °C for 5 min in air. Scanning and transmission electron microscopies are used to reveal microstructural changes caused by annealing. The influence of post-deposition annealing on hardness and Young modulus is studied in nanoindentation test. A scratch-test is applied to reveal changes in adhesion and the coefficient of friction (CoF) of coated samples with diamond before and after annealing. Friction-wear properties are also analyzed in dry sliding with Al2O3 and 100Cr6 steel in ball-on-disc tests. Our analysis shows that the post-deposition annealing leads to partial devitrification of the TiBx layers, where nanocrystalline TiB2 phase is identified, while the TiSiyCz layers retain amorphous. Annealing significantly increases mechanical properties of coated samples and adhesion of the (TiBx/TiSiyCz)x3 multilayer to steel substrates. Friction-wear properties of coated samples are also notably improved. The values of CoF for coated samples tested with diamond (in the scratch-test), alumina, and 100Cr6 steel (ball-on-disc tests) are in the range of 0.05–0.23, while for M2 steel the CoF values are 0.8, 0.45, and 0.8, respectively.