Machining of hard materials has become a great challenge for several decades. One of the problems in this machining process is early tool wear, and this affects the machinability of hard materials. In order to increase machinability, cutting tools are widely coated with nanostructured physical vapor deposition hard coatings. The main characteristics of such advanced hard coatings are high microhardness and toughness as well as good adhesion to the substrate. In this paper, the influence of hard coatings (nanolayer AlTiN/TiN, multilayer nanocomposite TiAlSiN/TiSiN/TiAlN, and commercially available TiN/TiAlN) and cutting parameters (cutting speed, feed rate, and depth of cut) on cutting forces and surface roughness were investigated during face milling of AISI O2 cold work tool steel (similar to 61 HRC). The experiments were conducted based on 3(13) factorial design by response surface methodology, and response surface equations of cutting forces and surface roughness were obtained. In addition, the cutting forces obtained with the coated and uncoated tools were compared. The results showed that the interaction of coating type and depth of cut affects surface roughness. The hard coating type has no significant effect on cutting forces, while the cutting force F (z) is approximately two times higher in the case of uncoated tool.