This paper investigates the self-loosening of threaded fasteners subjected to dynamic shear load. Three kinds of typical coatings, PTFE, MoS₂, and TiN applied to bolts and nuts, are tested in this investigation. The study experimentally examines the loosening mechanisms of fasteners and assesses the anti-loosening performance of the three tested coatings based on their tightening characteristics, loosening curves, and the damage of thread surface. Additionally, the anti-loosening performance of the three coatings is compared under different load forms. The results indicate that the PTFE and MoS₂ coatings have significant anti-loosening effect, whereas the anti-loosening performance of TiN coating is not satisfactory. It is also found that an appropriate increase of the initial tightening torque can significantly improve the anti-loosening effect. In addition, the microscopic analyses of PTFE and MoS₂ coating reveal that a reduced initial tightening torque leads to fretting wear on the thread contact surfaces of fasteners, thereby aggravating the damage.