The coating material of a tool directly affects the efficiency and cost of machining malleable cast iron. However, the machining adaptability of various coating materials to malleable cast iron has been insufficiently researched. In this paper, turning tests were conducted on cemented carbide tools with different coatings (a thick TiN/TiAlN coating, a thin TiN/TiAlN coating, and a nanocomposite (nc) TiAlSiN coating). All coatings were applied by physical vapor deposition. In a comparative study of chip morphology, cutting force, cutting temperature, specific cutting energy, tool wear, and surface roughness, this study analyzed the cutting characteristics of the tools coated with various materials, and established the relationship between the cutting parameters and machining objectives. The results showed that in malleable cast iron machining, the coating material significantly affects the cutting performance of the tool. Among the three tools, the nc-TiAlSiN-coated carbide tool achieved the minimum cutting force, the lowest cutting temperature, least tool wear, longest tool life, and best surface quality. Moreover, in comparisons between cemented-carbide and compacted-graphite cast iron machined under the same conditions, the wear mechanism of the coated tools was found to depend on the cast iron being machined. Therefore, the performance requirements of a tool depend on multiple factors, and selecting an appropriately coated tool for a particular cast iron material is essential.