Based on the cohesive zone model (CZM), a finite element model of the film–substrate bearing system in the rolling–sliding contact state is established. Through analyzing the normal and tangential bearing states of the film–substrate system, the effects of the sliding–rolling ratio and the film–substrate adhesion strength on the interfacial stress and the interfacial energy release rate of the film–substrate system are studied. The results show that there is an almost symmetric stress distribution at both sides of the contact zone in rolling contact. In rolling–sliding contact, obvious shear flow along the rolling–sliding direction occurs at the front edge of the contact zone, which results in a significant increase in the shear stress at the interface at the front edge of the contact zone, increasing the risk of interface damage and delamination failure. Meanwhile, the shear flow causes a normal tensile stress concentration along the film surface behind the contact zone, which very easily causes the emergence and expansion of the film surface cracks. In addition, there is a clear positive correlation between the adhesion strength and the load-bearing capacity of the film–substrate interface. The tangential delamination damage mainly occurs at the interface regardless of the rolling or rolling–sliding contact state.