By utilizing the multi-arc ion plating (MAIP) technique, multilayer coatings with varying Cr/Cr2N ratios and uniform thicknesses were deposited onto a nitrided Cr–Ni–Mo–V steel substrate. The evolution of microstructure and mechanical properties was characterized using scanning electron microscopy, X-ray diffraction, and micro-Vickers hardness testing. The load-bearing capacity of the multilayer coatings with varying modulation ratios was comprehensively evaluated through Vickers indentation tests with a 10-kgf load, Rockwell hardness testing with a 150-kgf load, and scratch tests with loads of 60 and 100N. The coating with a Cr/Cr2N layer modulation ratio of 0.2/0.4 μm exhibited a hardness of 1385 HV and an adhesion strength of 91N. Under a 10kgf load, this coating also demonstrated excellent fracture toughness, and did not exhibit any radial cracks in the Vickers indentation. Subsequently, a thermal shock test, involving quenching from 900°C water to 25°C, was conducted on the coating with the best comprehensive performance. The multilayer coating with high load-bearing capacity could withstand 52 thermal shock cycles before delamination occurred. Failure analysis further confirmed that the multilayer coating with enhanced load-bearing capacity effectively resisted thermal shock.