Natural hazards are complex phenomena that can occur independently, simultaneously, or in a series as cascading events. For any particular region, numerous single hazard maps may not necessarily provide all information regarding impending hazards to the stakeholders for preparedness and planning. A multi-hazard map furnishes composite illustration of the natural hazards of varying magnitude, frequency, and spatial distribution. Thus, multi-hazard risk assessment is performed to depict the holistic natural hazards scenario of any particular region. To the best of the authors’ knowledge, multi-hazard risk assessments are rarely conducted in Nepal although multiple natural hazards strike the country almost every year. In this study, floods, landslides, earthquakes, and urban fire hazards are used to assess multi-hazard risk in Kathmandu Valley, Nepal, using the Analytical Hierarchy Process (AHP), which is then integrated with the Geographical Information System (GIS). First, flood, landslide, earthquake, and urban fire hazard assessments are performed individually and then superimposed to obtain multi-hazard risk. Multi-hazard risk assessment of Kathmandu Valley is performed by pair-wise comparison of the four natural hazards. The sum of observations concludes that densely populated areas, old settlements, and the central valley have high to very high level of multi-hazard risk.