The CrZrN/CrZrSiN multilayer coatings at a bilayer period range decreasing from 1.35 μm to 0.45 μm were synthesized on a Si (100) wafer and WC-6 wt.% Co substrate using a closed-field unbalanced magnetron sputter, and the thickness effects on the mechanical properties and thermal stability were investigated. The CrZrN/CrZrSiN multilayer coatings showed high hardness and elastic modulus in the ranges of 28 to 33 GPa and 255 to 265 GPa, respectively, and the friction coefficient showed the lowest value of 0.24 on the multilayer coating with a bilayer period of 0.54 μm. The bilayer periods affected the adhesion strength of the multilayer coatings. From the scratch test, the critical load (Lc2) steadily increased with the decreasing of the bilayer period, and the CrZrN/CrZrSiN multilayer coating with a bilayer period of 0.45 μm showed the highest critical load (Lc2) of 79 N. In the case of the annealing test, the bilayer periods affected the thermal stability of the multilayer coatings, and the CrZrN/CrZrSiN multilayer coatings with 0.54 μm showed a maximum hardness value of approximately 30 GPa up to 800 °C.