This work is devoted to the study of the formation of nanostructured multilayer coatings (TiZr/Nb)N on the surface of an AISI 321 steel substrate depending on the deposition parameters of the Arc-PVD method. The results of the X-ray diffraction analysis showed the formation of solid solution (TiNb)N and ZrN in the multilayer coatings with an FCC structure, ε-NbN with a hexagonal structure, as well as with a small volume fraction of the ε-Ti2N and β-Nb2N phase. On the basis of phase composition data, it is possible to assume that an increase in the number of bilayers leads to a decrease in the nitrogen concentration in the bilayers and, consequently, to a decrease in the volume fraction of ε-NbN and β-Nb2N nitrides. In all investigated systems obtained at −100 V and −200 V bias potentials, ε-NbN is the main phase. The study of the element distribution over the thickness of the (TiZr/Nb)N coating confirms the results of the X-ray diffraction analysis. The use of the structure model in the form of alternating layers allows for significantly improving the adhesion characteristics of the protective coating, as well as ensuring their high hardness. Based on the experimental results, it is possible to analyze changes in the mechanical and tribological properties of multilayer coatings depending on the number of applied bilayers. The results of the study of the elastic modulus and hardness of multilayer coatings (TiZrNb)N with different numbers of bilayers showed that a large number of bilayers (small thickness of each individual layer) shows the lowest value of hardness. It is assumed that as the bilayer thickness decreases, the coating characteristics are closer to the monolayer alloy than to the multilayer structure.