The composition, structure, properties and deformation behavior during the indentation of gradient-layered heterophase coatings of a Ti-Al-Si-Cu-N system were studied using scanning, transmission microscopy and hardness measurement techniques. The results showed the alteration of structural state characteristics—decreased crystal sizes and crystal lattice parameter and increased lattice bending–torsion—throughout the coating thickness, which changed depending on the elemental composition and the synthesis conditions. The work also studied the coating’s fracture behavior and assessed the macroscopic plastic deformation of its separate layers. It was established that near the indenter’s tip, the nanocrystalline structure experienced the formation of separate nanosized localized fracture areas that were connected by multiple branching cracks. It was shown that the deformation of nanocrystalline and submicrocrystalline layers may exceed dozens of percent, and more in magnitude, especially with increasing distance from the indentation tip in the case of a layer with a columnar structure. The characteristics of the microstructure of different coating layers in the indentation zone were studied. It was found that in the indentation zone under the indenter’s tip, the deformation of layers with initially different structures led to equalization of the characteristics of their structural state and the similarity of a defective microstructure at the nanoscale level.