Co–Zr/Pd multilayers with different thicknesses of Pd layers have been prepared by rf sputtering and studied by ferromagnetic resonance (FMR) spectroscopy. The effective g‐factor, geff, of the multilayers has been obtained by FMR measurements. An oscillatory variation of geff between 1.95 and 2.18 with the thickness of Pd layers is observed. The oscillation period in geff is about 1 nm. This oscillatory behaviour of geff has been interpreted in terms of a system of two magnetic sublattices, one is the Co–Zr layer system, the other is the polarized Pd layer system. Finally the dependence of the effective magnetic anisotropy Ke of the Co–Zr/Pd multilayers on the thickness of Pd layers has been obtained according to the FMR results. A similar oscillatory behaviour in Ke was obtained. This mainly originates from the oscillation of the polarization of Pd layers, which causes an oscillatory additional shape anisotropy.