As a classic hard coating, titanium aluminum nitride (TiAlN) coating is widely applied in the aviation field due to its extremely high hardness and strength. Unfortunately, the large difference in hardness and thermal expansion coefficient between the coating and the substrate could also lead to the reduction of bonding force. In this paper, Double-glow plasma nitriding (DGPN) pretreatment followed by RF magnetron sputtering was used to prepare DGPN-TiAlN coating on the surface of TA15 alloy. The adhesion and the bearing capacity of DGPN-TiAlN coating is characterized by scratch and indentation tests. The gradient hardness support and stress transition effect of the nitriding layer are significant, and the bonding strength of TiAlN coating and the substrate are significantly improved. In addition, the high temperature wear resistance and erosion resistance of DGPN-TiAlN coating were detected through high-temperature wear tests and sand erosion tests. At 500 °C, the surface of DGPN-TiAlN coating formes a dense Al2O3 lubricating film with good adhesion, and the friction coefficient is lower than that of TiAlN coating. Under different erosion speeds and erosion angles, the erosion rate of DGPN-TiAlN coating is lower than that of TiAlN coating, and the coating surface defects are less.