Chromium-based coatings are deposited on a 100Cr6 (AISI 52100) substrate by a physical vapor deposition magnetron sputtering system. The coatings have different structures, such as a CrN monolayer and CrAlN multilayer. The structural and morphological compositions of the coatings were evaluated using glow discharge optical emission spectroscopy, atomic force microscopy, and cross-sectional scanning electron microscopy. Nano-indentation tests were performed to investigate the mechanical properties. Domes and craters are shown to be uniformly distributed over the entire surfaces of the two coatings. Additionally, the CrN/CrAlN multilayer coating exhibits a rough surface, attractive mechanical properties, a high compressive stress, and a high plastic and elastic deformation resistance. The improvement of the mechanical properties of the CrN/CrAlN coating is mainly attributed to a reduction in the crystallite size. We found that this reduction was related to three factors: (1) the compositional change resulting from the substitution of aluminum for chromium, which can produce a decrease in the interatomic distance; (2) the structure of CrN/CrAlN, which was characterized by grain size refinement; and (3) the high number of interfaces, which explains the widely accepted concept of dislocation blocking by the layer interfaces.