Ti-Al-N based hard coatings are used for a variety of industrial applications due to their outstanding mechanical properties, thermal stability and oxidation resistance. The ever-growing industrial demand for improved properties drives research towards the development of quaternary or even multinary materials. This work focuses on the investigation of Hf-addition to Ti-Al-N. Ti-Al-Hf-N coatings with different chemical composition were prepared by magnetically-unbalanced magnetron sputtering of powder metallurgically prepared Ti-Al-Hf targets (Al/Ti atomic ratio of 2 and Hf contents of 2, 5, and 10 at%, 75 mm diameter and 5 mm thickness) in a mixed Ar-N2 glow discharge using a substrate temperature of 500 °C. To further vary the chemical composition of the deposited nitride films (in addition to the mentioned target variation) up to eight Ti platelets (5 mm diameter and 3 mm thick) where added at the racetrack of the target. Thereby, the chemical composition of the metal-sublattice of the stoichiometric nitride films could be adjusted to values between the following ranges: 27-44 at% Ti, 48-71 at% Al, and 2-9 at% Hf. Investigations by X-ray diffraction (XRD) exhibit a single phase cubic (c, NaCl-type, B1) structure for the coatings with ~2 at% Hf up to Al contents of ~60 at%, with ~5 at% Hf up to Al contents of ~57 at%, and with ~9 at% Hf up to Al contents of ~55 at% (the given values refer to the metal sublattice). For higher Al contents the metastable hexagonal close packed wurtzite (w, ZnS-type, B4) phase is favored. Annealing investigations (in vacuum) of the single phase cubic coatings Ti0.38Al0.60Hf0.02N, Ti0.39Al0.57Hf0.05N, and Ti0.35Al0.55Hf0.09N, hence, with a chemical composition close to the transition from cubic to wurtzite phase, exhibit a spinodal-like decomposition of their supersaturated cubic phase to form Al-rich and Ti-rich cubic domains. Up to annealing temperatures of 900 °C no wurtzite like AlN can be detected (by XRD) for all coatings investigated. Whereas the low Hf containing film, Ti0.38Al0.60Hf0.02N, exhibits w-AlN after annealing at 1000 °C no w-AlN is present for the higher Hf containing films even up to annealing temperatures of 1200 °C. After annealing at 1400 °C the coatings consist of w-AlN and a solid solution c-Ti-Hf-N, no separate HfN phase could be detected by XRD. The lattice parameters of the obtained cubic solid solution Ti0.96Hf0.04N, Ti0.89Hf0.11N, and Ti0.79Hf0.21N phases are 4.26, 4.29, and 4.31Å. The hardness evolution, with annealing temperature, of these Ti-Al-Hf-N coatings is in perfect agreement to their structural evolution. All coatings investigated exhibit an age hardening behavior for annealing temperatures above 700 °C, where the formation of cubic Al-rich and Ti-rich domains is dominant. The low Hf-containing film, Ti0.38Al0.60Hf0.02N, exhibits a pronounced hardness reduction (from the peak hardness of ~41 GPa at 900 °C to ~34 GPa at 1000 °C) if annealed at 1000 °C or higher, as here the formation of w-AlN starts. The higher Hf-containing films, Ti0.39Al0.57Hf0.05N and Ti0.35Al0.55Hf0.09N, exhibit their peak hardness of ~43 and 44 GPa at 900 and 1000 °C, respectively. Even after annealing at 1100 °C their hardness is at the high level of ~38 GPa, as for both films no w-AlN can be detected even up to annealing temperatures of 1200 °C. The results obtained clearly demonstrate that Hf-addition to Ti-Al-N coatings not just increase their hardness from ~30 to 36 GPa in the as deposited state but also increases their thermal stability, as the formation of w-AlN is shifted to higher temperatures.