The thermal stability and the resistance against oxidation of quaternary compositionally gradient CrAlSiN coatings deposited on steel substrate are investigated by examining their structural, morphological and chemical features before and after oxidation tests, as well as by quantitative thermal analysis. The as-deposited samples exhibit a columnar structure, with each column consisting of nanocrystals as fine as 20 nm. The as-deposited coating is mainly composed of CrxAl1−xN solid solution nanocrystals, which are embedded in an amorphous SiNx matrix. When exposed to high-temperature dry air environment the coated samples exhibit remarkable stability as they remained intact up to 800°C. Over 800°C, elements from the substrate outdiffused and modified the chemical content of the film, but still remain oxidation-resistant up to 900°C.