With the rapid advancements in high-tech aeroengines and gas turbines, surface protective coatings are of increasing interest for enhancing the mechanical and corrosive performances of blade components under harsh high-temperature conditions. Owing to the unique nanolaminate structure, Cr₂AlC coating, a typical Cr-Al-C ceramic comprising MAX phases, provides an excellent combination of metallic and ceramic properties, including high-temperature oxidation resistance and superior damage tolerance. In this work, Cr₂AlC coatings were achieved on nickel-based superalloy substrates using a hybrid deposition system with a cathodic arc and magnetron sputtering source and subsequent annealing. Particularly, the effect of microstructure evolution on the mechanical properties of Cr₂AlC coating was studied under various thermal annealing temperatures of 1073, 1123, 1173, and 1223 K for 2 h. The phase structure, surface morphology, cross-sectional morphology, and elemental distribution of the coatings were characterized by XRD, SEM, and EDS. The mechanical properties, including the hardness and toughness of the coatings, were tested by nanoindentation and Vickers indentation. The results showed that the Cr₂AlC MAX phase was decomposed and transformed into Cr₂Al, Cr₇C₃, and Cr₂₇C₆ phases at higher annealing temperatures, and element diffusion of the coatings was also observed. Moreover, it was noted that the transition in the phase structure did not lead to the misfit of the interface, and the coatings maintained both a high hardness of 11 GPa and elastic modulus of 280 GPa, regardless of the annealing process. The slight decrease in toughness for annealed coatings could be attributed in the formation of brittle chromium carbides and Al element diffusion. Such Cr₂AlC MAX phase coatings are promising candidates as protective materials for wide applications in harsh high-temperatures applications.