A coated article includes a low emissivity (low-E) coating having at least one infrared (IR) reflecting layer of a material such as silver, gold, or the like, and a plurality of high refractive index dielectric layers of or including a nitride of Zr and Al. In certain example embodiments, the high refractive index dielectric layers of or including a nitride of Zr and Al may be amorphous or substantially amorphous so as to allow the low-E coating to better withstand optional heat treatment (HT) such as thermal tempering. In certain example embodiments, the low-E coating may be used in applications such as monolithic or insulating glass (IG) window unit, vehicle windows, of the like.