This study addresses the unclear damage mechanisms of TiAlSiN-coated tools during high-speed milling of GH4169 by integrating milling experiments with finite element simulations, and establishes a thermo-mechanical coupled damage prediction model that accounts for the superposition effect of cyclic loads. Cutting experiments show that with increasing cutting speed, the rake face damage evolves from peeling and abrasive wear to comb-shaped thermal cracks, mechanical cracks, and large-area peeling, accompanied by a significant reduction in tool life. Simulations reveal that the superposition of residual thermal compressive stress during the idle-cutting phase with mechanical stress in the subsequent cutting cycle forms alternating loads, which is the fundamental cause of thermo-mechanical fatigue crack initiation. The XFEM-CEM coupled model indicates that at higher cutting speeds, the maximum principal stress increases, promoting easier coating crack initiation and greater interfacial debonding. The thermo-mechanical coupled damage prediction model, improved by incorporating a temperature-modified strength threshold and a thermal acceleration factor, yields predictions consistent with experimental results, providing a theoretical basis for process parameter optimization and tool life prediction.