Thin CrN_x coatings are often used as protective coatings for steel. In these applications, coated parts might be subjected to high temperatures that can alter the coatings structural and mechanical properties. In this work, the properties of nanometric CrN_x coatings deposited by reactive magnetron sputtering on AISI 304L stainless steel were studied by transmission electron microscopy, glazing incident X-ray diffraction, Atomic Force Microscopy, and nanoindentation. The effect of annealing, both in air and vacuum, on the coating crystal structure, surface morphology and hardness were also investigated. It was found that annealing in vacuum-induced phase transformation from CrN to Cr₂N, while after annealing in air only Cr₂O₃ phase was present. Surface roughness did not increase for annealing in vacuum. CrN_x coatings with higher Cr₂N phase content showed lower roughness increase for annealing in air. Measured hardness was >10 GPa for as-deposited CrN_x samples. An increase in hardness up to >20 GPa was found for vacuum-annealed samples.