Chromium (Cr) has been recognized as a promising candidate material for ATF coatings. Herein, multilayer Cr/CrAlSiN coatings were prepared by magnetron sputtering to improve the high-temperature steam oxidation resistance of Zirlo tubes. The key performances of specimens in terms of high-temperature steam oxidation were investigated by using X-ray diffractometer (XRD), scanning electron microscopy (SEM) and transmission electron microscopy (TEM). Compared with Cr coatings, the oxidation resistance time of the Cr/CrAlSiN coatings increased from 1 h to 4 h in 1100 °C steam. A “thin Cr2O3 scale + thick Cr-rich layer” structural arrangement formed during the oxidation of the Cr/CrAlSiN coatings. The thin Cr2O3 scale means less growth stress produced in the oxidation process, and the thick residual Cr-rich layer can play a leading role in relieving the great stress and bearing the plastic deformation from the Cr2O3 layer.