This paper is a review of the thermal stability of nanostructured nitride coatings synthesised by reactive magnetron sputtering technique. In the last three decade, nitride based coatings have been widely applied as hard wear-protective coatings in mechanical components. More recently, a larger interest has been addressed to evaluate the thermal stability of such coatings, as their mechanical and tribological properties are deteriorated at high working temperatures. This study describes the microstructural, mechanical and compositional stability of nano-crystalline Cr-N and nano-composited Ti-N based coatings (Ti-Al-Si-B-N and Ti-Cr-B-N) after air and vacuum annealing. For Cr-N coatings annealing in vacuum induces phase transformation from CrN to Cr2N, while after annealing in air only Cr2O3 phase is present. For Ti-N based coatings, a well-definite multilayered structure was shown after air annealing. Degradation of mechanical properties was observed for all the nitride coatings after thermal annealing in air.