Coating techniques are used to improve the surface properties of materials. The filtered cathodic vacuum arc (FCVA) technology is an effective method to obtain high-quality dense coatings. Through FCVA technology, the contradiction between large thickness (over 10 μm) and compactness of TiAlN ceramic coatings was resolved. In this study, a monolayer TiAlN coating with a thickness of 17.13 μm, which possess a hardness of 34.31 GPa was obtained by the FCVA technology. The toughness of the coating was improved by the multilayer structure design which consists of TiAlN/TiAl. The best H/E and H3/E2 value of multilayer coating reached 2.38 times and 4.83 times higher than that of monolayer coating, and the hardness was only decreased by 15.46% at the same time. The highest critical load of adhesion strength for multilayer coatings reached 89.56 N, which is 1.98 times higher than the monolayer coating (44.24 N). For multilayer coating, the mass loss rate in anti-sand erosion test at high angle with the speed of 90 m/s is as low as 0.537 × 10−4 g/g. The erosion resistance per unit thickness of the multilayer coating reaches 1.9 times higher than that of the monolayer coating. At the same time, the multilayer coating has super wear resistance under oil lubrication environment. There is no obvious wear loss in the harsh reciprocal tribological test for 300 min with a normal load of 20 N and a reciprocating friction frequency of 4 Hz. The TiAlN/TiAl multilayer coating with large thickness and high density has excellent crack resistance and has application prospects in high load environments.