The thermal stresses generated in ZrTiN coating deposited on HSS and tungsten carbide substrates are investigated by finite element analysis and calculated by mathematics model. FEM analysis provides detailed information about all stress components. The influence of deposition temperature, substrate materials, coating thickness and interlayers on the generation is analyzed. The thermal stress of coatings has a linear relationship with deposition temperature, and an inverse relationship with the coating thickness. The results of simulated thermal stress are in accordance with the analytical method. The highest shear stress found at the interface between the coating and substrate indicates that the interface is the critical location which is learned from the failure point of view. Results also show that the insertion of TiZr interlayer between the coating and substrate can reduce the stress components especially the shear stress. The interlayer thickness has a great effect on stress reduction.