This paper investigates the propagation of in-plane surface waves in a coated thermoelastic half-space. First, it investigates a special case where the surface layer is described by the Maxwell–Cattaneo thermoelastic approach, while the half-space is filled by a thermoelastic material described by the classical Fourier law for the heat flux. The contact between the layer and the half-space is assumed to be welded, i.e., the displacements and the temperature, as well as the stresses and the heat flux are continuous through the interface of the layer and the half-space. The boundary and continuity conditions of the problem are formulated and then the exact dispersion relation of the surface waves is established. An illustrative numerical simulation is presented for the case of an aluminum thermoelastic layer coating a thermoelastic copper half-space, highlighting important aspects regarding the propagation of Rayleigh waves in such structures. The exact effective boundary conditions at the interface are also established replacing the entire effect of the layer on the half-space. The general case of the problem is also investigated when both the surface layer and the half-space are described by the Maxwell–Cattaneo thermoelasticity theory. This study helps to further understand the propagation characteristics of elastic waves in layered structures with thermal effects described by the Maxwell–Cattaneo approach.