Quaternary CrTiAlN hard coatings were deposited by closed field unbalanced magnetron sputtering ion plating technique onto steel substrates, and their structural, mechanical, and tribological properties after heat treatment in air at different temperatures (500-900 oC) were studied and compared by means of scanning electron microscopy (SEM), X-ray diffraction (XRD), micro-indentation, and pin-on-disc (POD) tribometer, etc. The onset temperature of oxidation was determined by thermogravimetric analyser (TGA). The compositional depth profiles before and after the heat treatments were examined by X-ray photoelectron spectroscopy (XPS) in order to study the oxidation mechanism. The experimental results indicate that the CrTiAlN coatings have excellent oxidation resistance and thermal stability, and outperform the traditional hard coatings like TiN and TiAlN in terms of higher oxidation temperature, hardness, adhesion, and wear resistance. It is expected that the CrTiAlN coatings with superior properties should have better performance in dry high speed machining.