The residual stress in ZrTiAlN coating on Q235 A substrate was analyzed by finite element method. Effects of coating thickness and interlayer on residual stress were investigated. The results showed that the critical stress concentration occurred at the boundary of the interface between ZrTiAlN coating and Q235 A substrate. The tangential stress and axial stress in ZrTiAlN coating were mainly tensile stress and the radial stress was mainly compressive stress. The change of the coating thickness had little impact on the nature and distribution of interface stress. With the increasing of coating thickness, the tangential stress at the interface increased, while the radial stress and the axial stress decreased. The residual stresses in the coating with interlayer were obviously decreased. The maximum value of the tangential stress, axial stress and radial stress of the coating with TiAl/Zr interlayer were decreased by 33%, 25% and 14%, respectively.