A combination of transmission electron microscopy techniques and spatially resolved microanalysis is used to investigate the nanostructure, constituting phases, and chemical elemental distribution in CrAlYN multilayered coatings. The location of the metallic elements and their chemical state are needed to understand their functional properties. Samples were prepared with variable Al (4–12 at%) and Y (2–5 at%) contents by direct current reactive magnetron sputtering on silicon substrates using metallic targets and Ar/N2 mixtures under different deposition parameters (power applied to the target and rotation speed of the sample holder). The changes produced in the nanostructure and chemical distribution were investigated. Nanoscale resolution electron microscopy analysis has shown that these coatings present a singular nanostructure formed by multilayers containing at a certain periodicity nanovoids filled with molecular nitrogen. Spatially resolved energy dispersive spectroscopy and electron energy loss elemental mappings and profiles showed that the chromium, aluminum, and yttrium atoms are distributed in a sequential way following the position of the targets inside the deposition chamber. Analysis of the different atomic distribution and phases formed at the nanoscale is discussed depending on the deposition parameters.