Radiation damage is one of the significant factors limiting the operating time of many structural materials working under extreme conditions. One of the promising directions in the development of materials that are resistant to radiation damage and have improved physical and mechanical properties is the creation of nanoscale multilayer coatings (NMCs). The paper is devoted to the experimental comprehension of changes in the defect structure and mechanical properties of nanoscale multilayer coatings (NMCs) with alternating layers of Zr and Nb under irradiation. Series of Zr/Nb NMCs with different thicknesses of individual layers were fabricated by magnetron sputtering and subjected to H+ irradiation. The evolution of structure and phase states, as well as the defect state under proton irradiation, was studied using the methods of high-resolution transmission electron microscopy (HRTEM), X-ray diffraction analysis (XRD), glow discharge optical emission spectroscopy (GDOES), and positron annihilation spectroscopy (PAS). The layer-by-layer analysis of structural defects was carried out by Doppler broadening spectroscopy (DBS) using a variable-energy positron beam. To estimate the binding energy and the energy paths for the hydrogen diffusion in Zr/Nb NMCs, calculations from the first principles were used. When the thickness of individual layers is less than 25 nm, irradiation causes destruction of the interfaces, but there is no significant increase in the defect level, the S parameter (open volume defects amount) before and after irradiation is practically unchanged. After irradiation of NMC Zr/Nb with a thickness of layers 50 and 100 nm, the initial microstructure is retained, and the S parameter is significantly reduced. The GDOES data reveal the irregular H accumulation at the interface caused by significant differences in H diffusion barriers in the bulk of Zr and Nb multilayers as well as near the interface’s region.