CrAlYN coatings with different Y contents (0, 5 and 12 at.%) were deposited by cathodic arc evaporation to investigate the influence of Y-addition on the structure, mechanical and thermal properties of CrAlN coatings by using X-ray diffraction, scanning electron microscopy, differential scanning calorimetry, thermal gravimetric analysis and nanoindentation. The structural transformation of single phase cubic Cr_0.42Al_0.58N and Cr_0.39Al_0.56Y_0.05N coatings to cubic-wurtzite mixed Cr_0.32Al_0.56Y_0.12N coating leads to a drop in hardness from (30.2±0.7) GPa of Cr_0.42Al_0.58N and (32.0±1.0) GPa of Cr_0.39Al_0.56Y_0.05N to (25.2±0.7) GPa of Cr_0.32Al_0.56Y_0.12N. The incorporation of 5 at.% Y retards the thermal decomposition of CrAlN, verified by the postponed precipitation of w-AlN and N-loss upon annealing. Correspondingly, Cr_0.39Al_0.56Y_0.05N coating consistently exhibits the highest hardness value during thermal annealing. Nevertheless, alloying with Y exerts an adverse effect on the oxidation resistance of CrAlN.