Multilayer films with high-density layer interfaces have been studied widely because of the unique mechanical and functional properties. Magnetron sputtering is widely chosen to fabricate multilayer films because of the convenience in controlling the microstructure. Essentially, the properties of multilayer films are decided by the microstructure, which could be adjusted by manipulating the deposition parameters, such as deposition temperature, rate, bias, and target–substrate distance, during the sputter process. In this review, the influences of the deposition parameters on the microstructure evolution of the multilayer films have been summarized. Additionally, the impacts of individual layer thickness on the microstructure evolution as well as the irradiation behavior of various multilayer films have been discussed.