The ability to predict and evaluate the machining performance quickly and realistically is extremely valuable. In this work, experimental investigations were carried out to optimise and compare the machining performance of physical vapour deposition–applied single-layer TiAlN-coated carbide inserts with chemical vapour deposition–applied multi-layer TiCN/Al₂O₃/TiN-coated carbide inserts during turning of hardened AISI 4340 steel (33-35HRC). The correlations between the performance measures, namely, three components of cutting force, surface roughness and tool life were developed by multiple linear regression models. The correlation coefficients, found almost close to 0.9 for all the developed models, indicate that the developed models are reliable to predict the responses within the domain of the cutting parameters selected. Tool life was observed to be affected more by cutting speed followed by depth of cut and feed. However, this effect was more prominent for physical vapour deposition–coated tools than chemical vapour deposition–coated ones. Optimum cutting conditions were determined using response surface methodology technique and the desirability function approach. It has been observed that while using physical vapour deposition–coated inserts, benefit of availing lower cutting forces and surface roughness with a sizeable tool life can be obtained by using the cutting speed of 176 m/min and at lower values of feed and depth of cut.