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ZrN/(Ti, Al)N nanometre multi-layered coatings with different modulation ratios and ion beam fluxes have been synthesized by ion-beam-assisted deposition at room temperature. X-ray diffraction (XRD), a nano indenter, and a profiler were used to characterize the microstructure and mechanical properties of the coatings. The small-angle XRD pattern indicated a well-defined composition modulation and layer structure. The XRD pattern showed a significant mixture of strong ZrN (111) and (Ti, Al)N(111) textures. At an assisted beam flux of 5 mA and modulation ratio of 2:3, the ZrN/(Ti, Al)N multi-layer possessed the highest hardness (30.1 GPa) and elastic modulus (361 GPa). Its fracture resistance, and residual stress also showed the best results.