In this study, a Cr-ZrN coating was constructed on Zr alloys as a protective layer. The ZrN layer was employed as an interlayer to restrain the CrZr interdiffusion. The samples were annealed in inert gas and steam environment up to 1400 °C. During high-temperature annealing, the ZrN coating that produced via multi-arc ion plating decomposed into zirconium and nitrogen. Discontinuous pores formed beneath the residual ZrN layer, which were formed by accumulation of nitrogen. With the increase of exposure time, the sizes of these pores decreased and finally disappeared. Compared to Cr-coated Zr alloys, the ZrN interlayer effectively limited the CrZr interdiffusion and eutectic reaction over a limited duration. Both the ZrN layer and the subsequently formed α-Zr(N) layer served as barrier layers, impeding the diffusion of Cr and Zr atoms.