A temperature behaviour of residual stresses in shot-peened steel coated with 3m CrN is characterized using in-situ energy dispersive synchrotron X-ray diffraction performed in the temperature range of 25-800°C. The samples are thermally cycled and the development of volumeaveraged residual stresses in the coating and residual stress depth gradients in the steel is characterized. The results reveal complex changes of stresses in CrN and in the substrate. The annealing results in the removal of stress gradients in the steel which starts at the temperature of about 600°C. After cooling down, there are no stresses detected in the steel. The temperature dependence of stresses in CrN is very complex and indicates the presence of phenomena like an annealing of intrinsic stresses about the deposition temperature of 350°C, a formation and a closing of micro-cracks in the tensile region and finally a stress relaxation of approximately 500 MPa after the cooling down. The presented approach allows a complex characterization of thermo-mechanical processes in coating-substrate composites and opens the possibility to understand phenomena related to the thermal fatigue of coated tools.