Nanoscale multilayered TiN/ZrN films were deposited using sequential vacuum-arc deposition of Ti and Zr targets in a nitrogen atmosphere. Studies of film's properties were carried out using various modern methods of analysis, such as XRD, STEM, HRTEM, SIMS combined with results of nanoindentation and tribological tests. To interpret the mechanical properties of the deposited multilayer films first-principles calculations of TiN(111), ZrN(111) structures and TiN(111)/ZrN(111) multilayer were carried out. To study the influence of thermal annealing, several samples were annealed in air at the temperature 700 °C. All deposited samples were highly polycrystalline with quite large 20–25 nm crystals. The crystalline planes were very ordinated and demonstrated an excellent coordinated growth. The nanohardness and elastic modulus of non-annealed coatings reached 42 GPa and 348 GPa, respectively. Annealing in air at the temperature 700 °C led to partial oxidation of the multilayered coatings, however hardness of the non-oxidized part of the coatings remained as high, as for initial coatings. All deposited coatings demonstrate good wear resistance.