The present work investigates the influence of isothermal annealing on the microstructure and oxidation behavior of nanocomposite coatings. AlTiSiN/TiSiN coatings with TiSiN adhesive layer were deposited onto a high-speed steel substrate via physical vapor deposition. The coatings were investigated in the as-deposited state as well as after annealing in air at 700, 800, 900 and 1000 °C, respectively. The microstructure and morphology of the coatings were observed using scanning electron microscopy and transmission electron microscopy. The chemical composition and presence of oxidation products were studied by energy-dispersive X-ray spectroscopy. The phase identification was performed by means of X-ray diffraction. In the microstructure of the as-deposited coating, the (Ti1−xAlx)N particles were embedded in an amorphous Si3N4 matrix. TiO2 and SiO2 were found at all annealing temperatures, and Al2O3 was additionally identified at 1000 °C. It was found that, with increasing annealing temperature, the thickness of the oxide layer increased, and its morphology and chemical composition changed. At 700 and 800 °C, a Ti-Si-rich surface oxide layer was formed. At 900 and 1000 °C, an oxidized part of the coating was observed in addition to the surface oxide layer. Compared to the as-deposited sample, the oxidized samples exhibited considerably worse mechanical properties.