TiAlSiN and AlCrN coatings are two representative coatings with excellent properties in TiN-based and CrN-based coatings, respectively. Multilayering is one of the most important directions for coating performance optimization. In this paper, nanoscale monolayer TiAlSiN, AlCrN, and multilayer TiAlSiN/AlCrN coatings were prepared. The microstructure, mechanical properties, oxidation resistance, and wear resistance of the above three coatings were investigated. The following properties of the TiAlSiN/AlCrN coating, including phase, nanohardness, elastic modulus, adhesion strength, and oxidation resistance, fall between those of the TiAlSiN and AlCrN coatings and conform to the “law of mixtures”. Due to the interfacial effect of the multilayer coating, the residual stress of the TiAlSiN/AlCrN coating is less than that of the two monolayer coatings. At 500 °C, the order of wear resistance of the three coatings is consistent with the order of H³/E*² values, i.e., TiAlSiN > TiAlSiN/AlCrN > AlCrN; at 800 °C, the order of wear resistance becomes TiAlSiN/AlCrN > TiAlSiN > AlCrN because TiAlSiN coating has entered the rapid oxidization stage first, reducing its wear resistance.