Extensive research has shown that nanolayered structures are capable of suppressing the shear banding in metallic glass in nanoindentation experiments. However, the specific mode and mechanism of the shear banding underneath the indenter remains unknown. Also, the quantification of shear banding-induced strain localization is still a challenge. Herein, the size-dependent shear banding behavior of a CuTiZrNb high-entropy alloy-based nanolayered glass with individual layer thicknesses (h) ranging from 5 to 80 nm was systematically investigated by nanoindentation tests. It was found that the hardness of the designed structure was almost size-independent. Yet, a clear transition in the deformation modes from the cutting-like shear bands to the kinking-like ones was discovered as h decreased to 10 nm. Moreover, multiple secondary shear bands also appeared, in addition to the primary ones, in the sample with h = 10 nm. The transition leads to an obvious strain delocalization, as clearly illustrated by the proposed theoretical model, which is based on the assumption of a pure shear stress state to quantify the shear banding-induced strain localization. The strain delocalization results from the higher density of amorphous/amorphous interfaces that exhibit the change in morphology with a refined layered glass structure.