High-entropy nitride coatings offer superior mechanical properties and wear resistance, making them ideal for advanced protective applications. In this work, the phase change and associated mechanical properties of arc-evaporated AlTiVCrMoWN coatings were investigated. Increasing the bias potential to −500 V facilitates the emergence of wurtzite AlN in AlTiVCrMoWN, resulting in refined grain morphology and reduced hardness. The hardness drops from 33.6 ± 0.8 GPa at −100 V to 29.6 ± 0.7 GPa at −500 V. Micro-pillar splitting experiments validated that the mixed-phase AlTiVCrMoWN coating possesses significantly higher fracture toughness (6.23 ± 0.51 MPa∙m 1/2) compared to AlTiN (4.41 ± 0.50 MPa∙m 1/2). This enhancement is attributed to a stress-driven phase transformation from the dual-phase state to a single-phase cubic structure under mechanical load, which absorbs greater fracture energy. These findings offer vital information about the unique toughening mechanisms of high-entropy nitride coatings and demonstrate the importance of controlled phase transitions for optimizing the mechanical performance of protective coatings in challenging industrial environments.