Solar selective absorbing coatings (SSACs) are required to have not only excellent optical property but also outstanding thermal stability for high temperature applications. The optical properties of Mo/ZrSiN/ZrSiON/SiO2 SSAC had been optimized successfully before. Herein, we are focusing on the evaluation and mechanism of thermal stability of this multilayer coating for its potential applications in concentrated solar power (CSP) systems. Fortunately, the coating exhibits excellent thermal stability after aging at 400 °C for 1500 h in vacuum. At aging temperature of 500 °C for 1000 h or 600 °C for 300 h in vacuum, the slight inter-diffusion between Mo layer and stainless steel (SS) substrate occurs. At higher aging temperature of 700 °C for 100 h in vacuum, the serious inter-diffusion between Mo layer and SS substrate leads to invalidation of the coating, which has been evidenced by Rutherford backscattering spectrometry (RBS) and X-ray diffraction (XRD) technologies. Additionally, this coating also has an outstanding thermal stability after aging at 400 °C for 300 h in air. A heating-cooling cycling (HCC) treatment evidences the good thermal stability of this coating working in cold environment (−60 °C). The results reveal that this coating can be a promising candidate not only for CSP system in high temperatures but also for usage in cold environment.