For mechanically dominated load profiles, nitrides are preferred as the base material for structural and functional hard coatings, while oxide-based materials offer better protection against high-temperature corrosion (such as oxidation). Thus, when mechanical and thermal loads are combined, the nitrides used should also have excellent stability against temperature and oxidation. How to develop such nitride materials that can withstand both high mechanical and thermal loads is the focus of this review article. This is done primarily with the help of experimental and theoretical investigations of the Ti–Al–N system. On the basis of transition metal nitride coatings, we discuss important material development guidelines for improved strength, fracture toughness as well as thermal stability and oxidation resistance. Using various superlattice coatings, we further discuss how such nanolamellar microstructures can improve both the strength and fracture toughness of hard coating materials. In addition, other concepts for improving fracture toughness are discussed, with a focus on those that can increase both fracture toughness and hardness. The individual concepts allow to design materials to meet the ever-growing demand for coatings with a wide range of excellent properties and outstanding property combinations.