The AlTiN composition multilayer coatings with a periodic change in nitrogen content are deposited on high speed steel (W18Cr4V) substrates with a medium-frequency reactive magnetron sputtering system and TiAl targets and by alternately changing nitrogen flux during deposition. These of coatings are annealed separately at temperatures of 600, 700 and 800 ℃ in vacuum for 5 hours. Their microstructures are studied by x-ray diffraction, field emission scanning electron microscopy, and high-resolution transmission electron microscopy, while their mechanical behaviors and adhesion properties are investigated using nano-indenter, scratch test, and friction and wear instrument. The results show that the AlTiN composition multilayer coatings obtained by alternately changing nitrogen flux during deposition possess stable and good mechanical properties. After 800 ℃ vacuum annealing, the interface of AlTiN multilayer coating is still very clear. Annealing increases crystallization degree and grain size of AlTiN multilayer coating, but the crystallization degree of high nitrogen content layer is still higher than that of low nitrogen content layer. After vacuum annealing, the hardness of AlTiN multilayer coating reduceds. The hardness of AlTiN multilayer coating after 800 ℃ annealing is larger than after 600 ℃ annealing, but as the annealing temperature increases, wear resistance and anti-spalling performance of AlTiN multilayer coatings decrease dramatically.