This paper aims to assess the effect of layer thickness on the elastoplastic properties of the constituent materials of multilayer coating systems, as well as on the stress and strain fields in the vicinity of the coating/substrate interface. A methodology based on a trust-region reflective optimization algorithm, integrated with finite element analysis of the nanoindentation process, is employed to extract the elastoplastic properties of the distinct layers, constituting multilayer coating. This approach is validated on a CrN/CrAlN multilayer coating systems with varying layer thicknesses from 1 to 0.35 µm, by which Young's modulus (E), yield stress (σy), and work hardening exponent (n) of each individual coating material layer were obtained. The results revealed a reduction in the hardness and Young's modulus of either CrN, or CrAlN coating layer as the layer thickness decreased. Finite element analysis of the nanoindentation process demonstrated that decreasing the coating layer thickness leads to an increase in the plastic deformation within the coatings, which reduces the stress concentration in this area. The simulation results suggest that an optimum thickness of 0.5 μm of CrAlN and CrN monolayer materials would improve the adhesion properties of CrN/CrAlN multilayer coatings.