The cutting performance of cutting tools in high-speed machining (HSM) is an important factor restricting the machined surface integrity of the workpiece. The HSM of AISI 4340 is carried out by using coated tools with TiN/TiCN/TiAlN multi-coating, TiAlN + TiN coating, TiCN + NbC coating, and AlTiN coating, respectively. The cutting performance evaluation of the coated tools is revealed by the chip morphology, cutting force, cutting temperature, and tool wear. The results show that the serration and shear slip of the chips become more clear with the cutting speed. The lower cutting force and cutting temperature are achieved by the TiN/TiCN/TiAlN multi-coated tool. The flank wear was the dominant wear form in the milling process of AISI 4340. The dominant wear mechanisms of the coated tools include the crater wear, coating chipping, adhesion, abrasion, and diffusion. In general, a TiN/TiCN/TiAlN multi-coated tool is the most suitable tool for high-speed milling of AISI 4340, due to the lower cutting force, the lower cutting temperature, and the high resistance of the element diffusion.