A surface coated hard alloy material suitable for use as a material of cutting tools, anti-wear parts or the like in which high wear resistance, oxidation resistance and anti-weld characteristic are the essential requisites, and a method of producing the same. The material has a substrate of cemented carbide, cermet or the like material, a first coating layer of a hafnium compound and directly coating the substrate, a second coating layer of a solid solution of a hafnium compound and a titanium compound and coating the first coating layer, and a third coating layer of a titanium compound and coating the second coating layer. These coating layers are successively formed in a common reaction system, so that the adherence between the coating layers, as well as between the first coating layer and the substrate is remarkably improved. Also, the advantages of the hafnium compound layer and the titanium compound layer are effectively utilized to provide a high wear resistance, oxidation resistance and anti-weld characteristic of the final surface coated hard alloy material.