Heterogeneous Al-(Fe, Cr) vacuum coatings were produced by electron beam vapor physical deposition (EB-PVD). It is shown that the composite structure (CS) of 85 at.% Al-(Fe, Cr) coatings consists of an aluminum-based matrix, strengthened by particles of λ-phase (CS-I), whereas that of 71 at.% Al-(Fe, Cr) coatings consists of fragmented grains of metastable bcc-phase and nano-sized particles of tetragonal Al(Cr, Fe)2 phase located along the boundaries of bcc-phase subgrains (CS-II). Effect of the different composite structures on their dissipative properties was studied. The coatings with the two types of CS have approximately the same microhardness, Hμ = 6–7 GPa, while their dissipative properties in the temperature range of 293–623 K are substantially different. It is found that the damping capacity (DC) for coatings with CS-II are 2–3 times higher than that of the coatings with CS-I(at strain amplitude of ε ~ 4 × 10−4). Moreover, CS-II coatings are characterized by the amplitude-dependent damping curves with a maximum, while CS-I coatings exhibit a monotonic increase with amplitude. These differences in the coatings DC may be related to the distinction of mechanisms of energy dissipation in them. In the case of CS-I coatings, the main dissipation mechanisms are dislocation processes and grain-boundary diffusion at elevated temperatures, whereas in the case of CS-II coatings it can be due to the friction of nano-cracks edges.