Hard coatings are often used for cutting applications due to their high hardness, chemical stability and low friction coefficients; especially Ti1-xAlxN based coatings are frequently applied. Increasing the performance of these coatings by optimizing their properties has been subject of investigations for several decades. The thermal conductivity of hard coatings only has been an additional invasion, but recently emerges as an increasing focus of research. A promising concept of thermal management during cutting is the use of coatings with anisotropic thermal conductivity to redirect the heat flow. Consequently, this work concentrates on the deposition and characterization of coatings with significant anisotropy in thermal conductivity. Alternating multilayers of SiOx and Ti1-xAlxN were sputtered in order to obtain a difference of in- and cross-plane thermal conductivity. Measurements in cross-plane direction using time-domain thermoreflectance were performed on the sample surfaces. For in-plane measurements, a special ion-beam assisted sample preparation procedure was developed. Cross-sections of the samples were prepared and measured accordingly. Subsequently, the anisotropy factor of the investigated samples was calculated from the obtained in- and cross-plane thermal conductivities. Further, selected samples were annealed in vacuum to investigate the change of anisotropy due to decomposition and phase transformation of the metastable Ti1-xAlxN. The present work describes a comprehensive methodology to investigate anisotropic thermal conductivities and thus contributes towards utilization of thermal conductivity of hard coatings as a further playground to optimize coating performance.