CrAlN/TiAlN multilayer films with different modulation periods were deposited by reactive magnetron sputtering. The impacts of modulation periods to the microstructures, mechanical properties and oxidation resistance at high temperature for the films were characterized by X-ray diffraction (XRD), micro hardness tester and scanning electron microscopy (SEM). It was found that the films took the fcc-CrAlN (or fcc-TiAlN) structure with a (111) preferential orientation, which resulted from epitaxial growth. The CrAlN/TiAlN multilayer films reached an unusual hardness at a certain modulation periods. The films had better high temperature stability than the monolayer of CrAlN and TiAlN, and showed higher hardness even in high temperature.