Dry milling of hardened steel is an economical and environmentally friendly machining process for manufacturing a mold and die. Advances in coating technology makes the dry milling a feasible approach instead of a traditional grinding process. However, the cutting condition is particularly severe in a dry machining process. High-performance coating is desired to meet the requirement of green and highly efficient manufacturing. This study concerned the performance of AlTiN-based coatings. The effect of Al content, and the AlTiN composite coating on the cutting performance of tools are investigated in terms of friction force at the tool–chip interface, specific cutting energy, cutting temperature on the machined surface, tool wear pattern and mechanism, and surface integrity. The results show that advanced AlTiN-based coatings reduce the force and cutting energy and protect the cutters from the high cutting temperature effectively. The main wear mechanisms of the coated tools are adhesive wear, chipping induced by fatigue fracture and abrasive wear. In general, the dry milling of hardened steel with AlTiN-based coatings gains a quite satisfactory surface quality. Furthermore, AlTiN-WC/C hard-soft multilayer coating performs well in reducing cutting force, preventing adhesion wear and isolating the cutting heat, being suitable for dry milling of hardened SKD11.