This article described the protective properties of Cr coatings with a barrier layer composed of ZrO2/Cr multilayers deposited onto E110 zirconium alloy. The coatings with a ZrO2/Cr multilayer thickness of 100, 250, and 750 nm and single-layer (1.5 µm) ZrO2 barrier were obtained by multi-cathode magnetron sputtering in Ar + O2 atmosphere. Then, cracking resistance and oxidation behavior were studied under conditions of thermal cycling (1000 °C) in air and high-temperature oxidation at 1200–1400 °C in a water steam. The role of the ZrO2/Cr multilayers and multilayer thickness on cracking resistance of the experimental coatings and oxidation resistance of the coated E110 alloy was discussed. It was shown that the coatings with more quantity of the ZrO2/Cr multilayers have higher cracking resistance, but such types of samples have a large amount of coating spallation under thermal cycling. The high-temperature steam oxidation (1200–1400 °C) demonstrated that interfaces of the ZrO2/Cr multilayers can act as a source of cavities formed by the Kirkendall mechanism that results in accelerating Cr–Zr interdiffusion for Cr-coated E110 alloy.