The oxidation resistance of CrAl(Y)N coatings deposited by reactive magnetron sputtering on P92 steel substrates was tested at 650 °C in 100% steam atmosphere up to 2000 h of oxidation. Mass gain measurements and characterisation of coatings and scales after oxidation show the enhanced oxidation resistance provided by the coatings with respect to that of the substrate. The dominant influence of the film microstructure developed due to the presence of an adhesion interlayer of CrN at the coating/substrate interface over Y additions is evidenced. The best performance is achieved by a CrAlN dense coating of around 6 μm without adhesion interlayer.