Modifying the architecture of multilayer hard coatings allows to adjust the mechanical properties of these materials for a given application. Within this work, the effect of the bilayer thickness (Λ) and the individual sublayer thickness ratio on the microstructure and mechanical properties of ZrN/TiN multilayer coatings was investigated. Multilayer coatings with Λ of 570, 320 and 35 nm were deposited by cathodic arc evaporation and compared to TiN and ZrN single-layer coatings. The microstructure was investigated by X-ray diffraction (XRD) and scanning electron microscopy. All coatings exhibit a single phase face-centred cubic structure and a predominant (111) texture. A columnar structure was observed for all coatings and grain growth extending beyond the ZrN/TiN interfaces was evident in all multilayers. For all coatings, compressive residual stresses were determined by XRD using the sin 2ψ method, where the multilayer sample with the largest Λ exhibited the highest compressive residual stress of −1.7 ± 0.2 GPa. Lower compressive residual stresses could be correlated with decreasing Λ and decreasing ZrN:TiN thickness ratio. Nanoindentation experiments as well as micro-mechanical bending tests were conducted to assess the mechanical properties of the coatings. The ZrN/TiN multilayer sample with Λ of 35 nm showed the highest hardness of 28.0 ± 1.1 GPa. This value is similar to the TiN single-layer and higher compared to the ZrN single-layer, which exhibited a hardness of 27.9 ± 1.4 GPa and 25.8 ± 1.3 GPa, respectively. While the ZrN single-layer showed the highest fracture toughness, the ZrN/TiN multilayer samples were identified as the mechanically stiffest and strongest of the investigated coatings, since they exhibited a higher fracture stress compared to the single-layer coatings. The obtained results allow to optimise the architecture of ZrN/TiN multilayer coatings yielding the desired coating properties for application in the cutting industry.