The microstructure characteristics of Ti-Al-Si-N multilayer gradient coating were obtained, the mechanical properties of the coating were analyzed, and the strengthening mechanism of the coating was obtained. Ti-Al-Si-N multilayer gradient coatings were prepared on high speed steel and Si substrates by cathodic arc ion plating with four targets alternately deposited. The crystal structure, microstructure and mechanical properties of the Ti-Al-Si-N multilayer gradient coating were characterized by X-ray diffractometer (XRD), high resolution transmission electron microscope (HRTEM), and nanoindentation instrument. The main phase in Ti-Al-Si-N multilayer gradient coating is (Ti,Al)N crystal phase with preferred orientation of (200). Ti-Al-Si-N multilayer gradient coating consists of TiN, TiAlN and TiAlSiN layers with thickness of 41.7, 1458.3 and 1450 nm, respectively. The structure of TiN and TiAlN layers was observed by HRTEM. It is found that TiAlN/TiN periodic structure is formed in TiAlN layer, and confirmed as the microstructure of TiAlN/TiN nano multilayer coating. The TiN modulation layer is about 1 nm, TiAlN modulation layer is about 0.5 nm, and the modulation period is about 1.5 nm. In addition, it is found that there is nc-TiAlN/α-Si3N4 structure in the TiAlN layer. The grain size of TiAlN is about 6 nm, and that of amorphous Si3N4 is about 2~3 nm. The hardness and elastic modulus of Ti-Al-Si-N multilayer gradient coating are 27.7 GPa and 338.0 GPa respectively. The schematic diagram of Ti-Al-Si-N multilayer gradient coating is constructed. The strengthening mechanism of the coating can be explained by modulus difference theory, alternating stress field theory and nc-TiN/α-Si3N4 model. The main strengthening mechanism is nc-TiN/α-Si3N4 model theory.