Alloying and multi-layer structure design are two important methods for modifying AlCrN-based coatings. In this study, AlCrSiWN alloyed and AlCrSiN/AlCrWN multi-layer coatings were deposited using cathodic arc evaporation (CAE) technique to investigate their differences in thermal stability and resistance to high-temperature oxidation. The results indicate that, (1) Both coatings exhibit a c-Al(Cr) N single-phase structure, while the AlCrSiN/AlCrWN coating possesses a finer grain structure as well as lower surface roughness. Therefore, AlCrSiN/AlCrWN coating exhibits a higher nanohardness (32.1 ± 2.8 GPa) at room temperature. (2) The thermal decomposition temperature of the AlCrSiWN coating (∼1045 °C) is slightly higher than that of the AlCrSiN/AlCrWN coating (∼1035 °C), and thus the nanohardness (31.3 ± 2.0 GPa) of the AlCrSiWN coating after annealing at 1000 °C is higher than that of the AlCrSiN/AlCrWN coating (28.1 ± 1.0 GPa). (3) The different modification strategies mad both coatings have comparable oxidation resistance at temperature below 1200 °C. However, at a higher temperature (>1200 °C), the AlCrSiWN coating demonstrated superior resistance to high temperature oxidation compared to the AlCrSiN/AlCrWN coating.