Materials for steel‐melt filtration have to fulfill different thermomechanical requirements and especially withstand the thermal shock attack in the beginning of casting. In particular, carbon‐bonded alumina materials provide an excellent thermomechanical performance and have been used in functional components such as submerged entry nozzles, stoppers, and sliding gates for several years. The present study investigates the mechanical high‐temperature behavior of Al2O3‐C foam filter structures with coatings based on carbon nanotubes+Al2O3‐nanosheets (CNT‐ANS) and carbon nanotubes+Al2O3‐nanospheres (CNT‐ANB) at 1100 and 1450 °C. The foam filters are tested in an electromechanical testing machine under argon atmosphere in quasi‐static compression. The tests show a brittle material behavior at 1100 °C with higher compressive strength of the coated filter samples. At 1450 °C, a loss of strength occurs, accompanied by an increase in plastic deformation. Rupture of struts and behavior of the coatings are microstructurally analyzed by scanning electron microscopy. As the mechanical load during the tests is much longer than in real immersion tests, the high‐temperature performance is considered trustworthy.