Structural, optical, and mechanical properties of Al₂O₃/TiO₂ nanolaminates fabricated by atomic layer deposition (ALD) were investigated. We performed transmission electron microscopy (TEM), X-ray diffraction (XRD), X-ray reflectivity (XRR), energy dispersive X-ray spectroscopy (EDX), ellipsometry, UV–vis spectroscopy, photoluminescence (PL) spectroscopy, and nanointendation to characterize the Al₂O₃/TiO₂ nanolaminates. The main structural, optical, and mechanical parameters of Al₂O₃/TiO₂ nanolaminates (thickness, grain size, refractive index, extinction coefficient, band gap, hardness, and Young’s module) were calculated. It was established that with decreasing of the layer thickness, the value of band gap energy increases due to the quantum size effect related to the reduction of the nanograins size. On the other hand, the decreasing of nanograins size leads to generation of interface defects and, as a consequence, to the increasing of Urbach energy. It was also shown that there is an interdiffusion layer at the Al₂O₃–TiO₂ interface, which plays a crucial role in explaining mechanical and optical properties of Al₂O₃/TiO₂ nanolaminates. The correlation between structural, optical, and mechanical parameters was discussed.