In the present study, (Cr,Al)N nanolayer coatings with different Al/Cr atomic ratios were deposited by magnetron sputtering on different substrate materials (H11 and D2 tool steel, alumina). To prepare the (Cr,Al)N coatings with different Al/Cr atomic ratios in the same batch, we used two targets composed of two triangle-like segments together with two standard Al and Cr targets. This approach enabled us to study the evolution of structural and mechanical properties in dependence on composition. The elemental composition of the coatings was determined by energy-dispersive X-ray analysis (EDS). The phase composition of the (Cr,Al)N coatings was determined utilizing X-ray diffraction (XRD), while scanning electron microscopy (SEM) was employed to assess their morphology and microstructure. The coating surface topography was analyzed by atomic force microscopy (AFM). In order to evaluate the effect of the Al/Cr atomic ratio on the oxidation behavior, the (Cr,Al)N coatings were oxidized in ambient atmospheres at temperatures between 700 and 850 °C and subsequently analyzed by means of cross-sectional SEM and transmission electron microscopy (TEM). The oxidation rate, determined by weight gain over time, was utilized to quantify the oxidation process. The oxidation tests showed that the Al-rich (Cr,Al)N nanolayer coatings exhibit a considerably better oxidation resistance than the Cr-rich ones. We found that the oxide scale formed on the Al-rich coating is composed of double layers: a Cr-oxide top layer and an inner (Cr,Al) mixed oxide layer. In contrast, the oxide scale of the Cr-rich coating mainly consists of the Cr2O3 layer. In particular, we focused on the oxidation process occurring at the locations of growth defects. We noticed that the first oxidation products on the coated substrate occurred at a temperature that was much lower than the temperature for the (Cr,Al)N coating oxidation initiation. These products (iron oxides) formed only at the sites of those growth defects that extended through the entire coating thickness.