CrN/WN multilayer coatings were deposited on both silicon (100) and stainless steel substrate by the ion-beam assisted deposition. The bilayer periods were designed and controlled in the range from 3 nm to 30 nm. The CrN/WN films were annealed from 750 °C to 850 °C for 1 and 4 h in vacuum to evaluate the thermal stability of these coatings. The difference of microstructural characterization between the CrN/WN multilayer coating and the CrN single layer coating was investigated by scanning electron microscopy. The phase transformation after annealing was probed by X-ray diffraction. The hardness of as-deposited CrN/WN coating with 8 nm bilayer period was much higher than that of CrN and WN single layers. The thermal stability of CrN/WN multilayer coatings with different bilayer periods was also discussed in correlation to the associated microstructural evolution.