Nitride coatings with high hardness and excellent wear resistance are produced by physical vapor deposition (PVD) to improve lifetime of the components. In nanostructured nitride coatings, developed in recent years, load bearing capacity and adhesion to the substrate are the two key factors that determine final performance of the coating. In this research, CrN/CrAlN nanostructured multilayer coatings with different thickness and number of layers were deposited by an industrial cathodic arc process on 420 stainless steel and H13 hot work tool steel. The purpose of such system of coating design is to improve adhesion and tribological behavior of CrAlN coating. Structural analysis and characterization of the coatings were performed by nano-indentation test, conventional and field emission scanning electron microscopes, X-ray diffraction and energy dispersive spectroscopy. Adhesion of CrAlN coatings to the substrates was investigated by scratch and VDI 3198 Rockwell adhesion tests. Evaluation of the tribological behavior of the coated specimens was carried out by ball-on-disc test, using tungsten carbide counterface. Experimental results revealed that PVD coatings produced by cathodic arc technique contain many macro-particles, the number and size of which depend on production parameters. High values of compressive residual stress, from 1500 to nearly 3000 MPa, were measured in the nitride coatings. The load bearing capacity, as evaluated by both Rockwell test and pin-on-ball test, was found to depend on the thickness and adhesion of the coating to the substrate; the optimum value was obtained at an intermediate thickness. In addition, the study revealed that type of substrate and deposition parameters had a significant influence on adhesion and load-bearing. Overall results of this research confirmed that among the various parameters influencing load bearing of CrAlN coatings, the thickness was the most significant factor; a thickness between 2 and 8 µm experienced maximum load bearing for the coatings under investigation.