Atomic layer deposition (ALD) facilitates the deposition of coatings with precise thickness, high surface conformity, structural uniformity, and nodular-free structure, which are properties desired in high-power laser coatings. ALD was studied to produce uniform and stable Al2O3 and HfO2 single layers and was employed to produce anti-reflection coatings for the harmonics (1ω, 2ω, 3ω, and 4ω) of the Nd:YAG laser. In order to qualify the ALD films for high-power laser applications, the band gap energy, absorption, and element content of single layers were characterized. The damage tests of anti-reflection coatings were carried out with a laser system operated at 1ω, 2ω, 3ω, and 4ω, respectively. The damage mechanism was discussed by analyzing the damage morphology and electric field intensity difference. ALD coatings exhibit stable growth rates, low absorption, and rather high laser-induced damage threshold (LIDT). The LIDT is limited by HfO2 as the employed high-index material. These properties indicate the high versatility of ALD films for applications in high-power coatings.