<p>With the wide application of difficult-to-machine materials such as titanium alloys, the failure of coated tools under high-temperature, high-pressure, and high-strain-rate conditions have become increasingly prominent. Thus, it is significant to evaluate the failure mechanism of coated tool under the thermo-mechanical coupling effects. In this study, an ultra-high-frequency thermo-mechanical cyclic fatigue impact test platform was developed to study the fatigue characteristics and damage evolution law of the TiAlN/CrN/Cr multilayer nano-gradient coating. In addition, the quasi-static mechanical properties of the coating were investigated through the nanoindentation tests, sequential loading indentation tests, and scratch tests, while the oxidation resistance of the coating was studied through oxidation tests. The results showed that the critical load for coating delamination failure after scratching tests was 5.58&#xa0;N. The coating exhibited no significant failure following oxidation under 700&#xa0;°C for a duration of 2 hours. At 800&#xa0;°C, the oxidation of TiAlN/CrN/Cr multilayer nano-gradient coating could be accelerated by the growth of the Ti-rich sublayer. Under the ultra-high-frequency dynamic thermo-mechanical coupling cyclic fatigue impact, both annular and radial cracks were developed on the coating surface, which could ultimately lead to the coating spalling. The coating exhibited structurally intact when the impact cycles remained under 160000. The results demonstrated that the TiAlN/CrN/Cr multilayer nano-gradient coating displayed excellent resistance to high-temperature thermo-mechanical coupling cyclic fatigue impact. The study revealed the failure mechanism of coating crack propagation and delamination, thereby providing a theoretical foundation for optimizing coating design and enhancing coated tool service life.</p>