This paper presents the results of fabricating a model sample of a multilayer coating on a Al2O3 substrate, which consisted of 30 periods of alternately deposited 10.5-nm-thick layers of Ti41Zr41Ni18 and 2.5-nm-thick layers of W. The effect of annealing for 1 h at 500, 600, and 700 °C was studied. Characterization of the phase and structural state of the coating by X-ray diffractometry and small-angle X-ray reflectometry was carried out. It was found that during the annealing process, the tungsten layers in the multilayer composition did not undergo significant changes, and all alterations occur only in the Ti41Zr41Ni18 layers. Annealing affected the thickness of the layers, density, and interlayer roughness. It has been experimentally shown that the phase transformation ”quasicrystal → 2/1 crystalline approximant” is accompanied by an 8.3% volume increase compared to the volume of the quasicrystalline phase, but this does not lead to the destruction of the periodic composition. The multilayer structure proved to be resistant to high temperatures and, despite phase changes, did not lose its bond with the substrate. The used combination of materials and the high annealing temperature did not generate significant internal stresses or mechanical damage. The results obtained in this study allow for the further controlled formation of layered quasicrystal/tungsten microsystems of various designs with different layer thicknesses. The next perspective involves conducting practical tests with plasma to study the radiation-thermal impact.