Milling processes are characterized by interrupted cutting, resulting in cyclic thermo-mechanical loading conditions affecting the milling tool's service life. In the current paper, a numerical method is built to predict the transient temperature and stress fields inside coated milling inserts during a dry milling application. The investigated milling tools are hard coated WC-Co hard metal milling inserts, the cut workpiece material is 42CrMo4. The thermal shielding of the substrate by three different hard coating layers, each with a thickness of 7 μm is quantitatively evaluated numerically. The compared coatings are: (i) a TiAlN single layer, (ii) a TiCN/α-Al ₂ O ₃ bilayer and (iii) a TiAlN/α-Al ₂ O ₃ bilayer. The deformation behavior and thermal properties of the hard metal substrate and the hard coatings were considered as a function of temperature by experimentally parameterized material models. A remarkable new feature of the presented model is that the simulated dry milling process includes an unprecedented number of 100 load cycles. The synergetic combination of 2D and 3D finite element models gives insight into the cyclic thermo-mechanical tool load that causes stresses and inelastic strains in the substrate. The applied modeling approach considers that the heat flux between the workpiece and the milling tool is changing as the tool heats up during milling. During successive milling cycles, a decreasing heat flux into the tool is taken into account. A comparison of hard coatings with different inherent thermal properties showed a damage-relevant reduction in substrate plasticization with decreasing thermal conductivity of the coatings.