In this paper, we propose and analyze two highly efficient compact finite difference schemes for coupled nonlinear wave equations containing coupled sine-Gordon equations and coupled Klein-Gordon equations. To construct energy-preserving, high-order accurate and linear numerical methods, we first utilize the scalar auxiliary variable (SAV) approach and introduce three auxiliary functions to rewrite the original problem as a new equivalent system. Then we make use of the compact finite difference method and the Crank-Nicolson method to propose an efficient fully-discrete scheme (SAV-CFD-CN). The modified energy conservation and the convergence of the SAV-CFD-CN scheme are proved in detail, which has fourth-order convergence in space and second-order convergence in time. In order to preserve the discrete energy of original system, we further combine Lagrange multiplier approach, compact finite difference method and the Crank-Nicolson method to propose the second fully-discrete scheme (LM-CFD-CN). The proposed two schemes are high-order accurate, linear and highly efficient, only four symmetric positive definite systems with constant coefficients are required to be solved at each time level. Numerical experiments for the coupled nonlinear wave equations are given to confirm theoretical findings.