CrN/AlN multilayer coatings with various bilayer periods in the range of 1.8 to 7.4 nm were synthesized using a closed-field unbalanced magnetron sputtering method. Their crystalline structure, chemical compositions and mechanical properties have been investigated with Auger electron spectroscopy, X-ray diffractometry, atomic force microscopy, nanoindentation, scratch tests. The properties of the multilayer coatings varied strongly depending upon the magnitude of the bilayer period. The multilayer coating with a bilayer period of 1.8 nm showed the maximum hardness and an elastic modulus of approximately 37.6 and 417 GPa, respectively, which was 1.54 times higher than the hardness predicted by the rule of mixture from the CrN and AlN coatings. The hardness of the multilayer coating increased as the bilayer period decreased, i.e. as the rotation speed increased. The Hall-Petch type relationship, hardness being related to (1/periodicity)$^{-1/2}$, suggested by Lehoczky was confirmed for the CrN/AlN multilayer coatings with bilayer period close to the 5-10 nm range. With decreasing bilayer period, the surface morphology of the films became rougher and the critical load of films for adhesion strength gradually decreased.