(Al,Mo,Ta,V,W)-N0.79, -N0.33, and -N0.88O0.12 coatings were sputtered in N2-rich, N2-lean, and N2+O2 containing atmospheres. The face-centered cubic structured coatings feature as-deposited hardness values of 32.3, 39.7, and 34.5 GPa, respectively. The (Al,Mo,Ta,V,W)N0.79 and (Al,Mo,Ta,V,W)N0.33 consist of highly oriented columns, plus some very large grains in the latter coating. During vacuum annealing at 800 °C for 30 h, the (Al,Mo,Ta,V,W)N0.79 loses N down to 25 at.%, while the (Al,Mo,Ta,V,W)N0.33 remains stable. Their alignment in chemical composition also caused an approach of their hardness values with 35.2 and 38.1 GPa, respectively. The (Al,Mo,Ta,V,W)N0.88O0.12 exhibits partly tilted and randomly oriented smaller columnar grains than the nitrides, and the hardness drops from 34.5 to only 14.1 GPa when vacuum annealed due to massive phase-transformations toward individual oxides and the connected crack formation.