The results of a study of structure, phase, and chemical compositions of nanostructured (Ti,Zr)N coatings formed by vacuum arc deposition on Ti0.16Pd (wt.%) alloy substrates are reported. The coating composition was varied depending on the quasi-binary system δ—TiN—δ—ZrN. The coatings were formed in two modes: without (mode 1) and with (mode 2) rotation of the substrates in a plasma flow. It was shown that irrespective of the deposition regime, the coatings have a single-phase nanograined (grain size ≤ 20 nm) structure of δ-nitrides TiN, (Ti,Zr)N, and ZrN. It is found out that the coatings deposited in accordance with modes 1 and 2 significantly differ in their microstructure. It is demonstrated that in the case of electrolytic hydrogenation in a physiological saline solution (0.9% NaCl), the barrier properties of the coatings deposited via mode 2 are substantially better than those deposited via mode 1 (irrespective of the chemical coating compositions). In the coatings with a regular columnar structure (mode 1), there is a high concentration of hydrogen homogeneously distributed over the coating thickness. In the coatings formed via mode 2 (without columnar microstructure), a high concentration of hydrogen was observed in the subsurface area only. It is found out that there is no hydrogen diffusion into the substrate of these coating both immediately after hydrogenation and after storing for 430 h at room temperature. It was shown that the highest barrier properties were exhibited by the (Ti,Zr)N coatings with the least correlation of spatial distribution of nanograins and Zr/Ti ≤ 1. The hydrogen absorption in the coating based on zirconium nitride increases by a factor of 2.